Allianz
Structured
Alpha 250
May 2017
Agenda
1
Allianz Structured Alpha: a strategy for any market environment
2
Allianz Structured Alpha 250: Specific features
A
Appendix
2
1
Allianz Structured Alpha: a strategy
for any market environment
3
Alternative UCITS…
…offer investors the opportunity to benefit from the advantages of
alternative strategies in a regulated and liquid framework
AllianzGI total
alternatives
strategies2 :
EUR 14 billion
Structured Alpha
Strategy1
(Investment team
current offering)
EUR 4.4 billion
AllianzGI liquid
alternatives
strategies1 :
EUR 6.8 billion
A performance of the strategy is not guaranteed and losses remain possible.
1 Source: Allianz Global Investors; as at 31 March 2016.
2 Source: Allianz Global Investors; data as per 31 December 2015.
4
Allianz Structured Alpha Strategy offers versatile applications to
investor portfolios
A substitute source of income :
5
Allianz Structured Alpha Strategy aims to provide consistent,
uncorrelated returns regardless of market trends
Structured Alpha 250: Pro forma performance calendar years in %1
3.9% p.a.
15
annual performance1
since inception in 2005
with an expected
volatility of 1 – 3%
11,7
10
7,3
6,3
4,9
4,0
5
4,0
3,3
2,9
0,7
0,6 0,7
1,4
0,4
0,9
3,3
0,2
2,9
0,1
2,8
2,6
0,1
0
-0,1
-0,3
-2,5
-5
2005*
2006
2007
2008
2009
2010
2011
Structured Alpha 250, net (pro forma)
2012
2013
2014
2015
2016
EONIA
1
The UCITS fund Allianz Structured Alpha 250 was launched on 01 March 2016. Pro forma returns were calculated by taking the net excess returns of the Structured Alpha U.S. Equity 250 composite,
and then adding those monthly excess returns to the return of the EONIA. This pro forma return stream approximates the net returns that would have been realized for an EONIA + 250 portfolio.
Returns for 2005 reflect partial annual returns starting September 1, 2005.
Source: Allianz Global Investors, as at 31/12/2016. Structured Alpha 250 pro forma performance net of fees. Inception date of Structured Alpha U.S. Equity 250 composite: September 1, 2005.
Performance of less than one year has not been annualized. The data is shown only as an example of a Structured Alpha strategy. Performance for an investor in any of the Structured Alpha strategies
may differ from the performance shown above due to application of the cumulative high watermark, frequency of performance fee calculation, expenses, choice of an underlying portfolio different than
the 90 Day T-Bill, and other considerations, including those related to the timing of an investor’s initial investment and any subsequent cash flows. Please see the Appendix for additional disclosures
and GIPS ® presentation for the composite presented above. Past performance is not a reliable indicator of future results.
6
Allianz Structured Alpha – Investment Philosophy
Absolute-return strategy that pursues risk-controlled returns via the options market
1
2
3
Long and short volatility at the same time, at all times
 Pursue gains through a dynamic options strategy, but do not presume that
the market will behave normally or that history will repeat itself
Ability to perform irrespective of the market environment
 Never make a call on the direction of equities or of volatility. The aim is to
provide consistent, uncorrelated returns regardless of market direction
Three-pronged investment objective:
 Profit during normal market conditions (up / down / flat)
 Protect against a market crash (hedge against extreme downside market
moves)
 Navigate as wide a range of equity-market outcomes as possible
7
The investment process is designed to deliver returns in any market
environment
1. Proprietary Statistical Analysis
Identify areas at systematic disagreement with option prices about the probability distribution of future index moves
a
Range-Bound Spreads
b
Directional Spreads
c
Hedging Positions
Short Volatility
Long-Short Volatility
Long Volatility
Designed to generate returns in normal up,
down or flat markets
Designed to generate returns when equity
indexes rise or fall more than normal over a
multi-week period
Designed to protect the portfolio in the
event of a market crash
d
Optimization: Quantity, Portfolio Effect,
Diversification Across Expirations
e
2. Position Construction
Multiple layers of risk control
Optimization: Strike, Duration
Structured Alpha Portfolio
The diagram and statements above reflect the typical investment process applied to this strategy. At any given time other criteria may affect the investment process. Note that in order to
manage the Structured Alpha strategies, AllianzGI will need collateral for the options contracts. In the event that, over a continued period of time, there is a sustained loss in closeout of the
options contracts, there is a risk that assets used as collateral for the options would need to be utilized to cover the loss incurred from the closeout of the options contracts. See additional
disclosure at the end of this presentation.
8
a
Range-Bound Spread Positions
Designed to generate returns in normal up, down or flat markets
 These positions have contributed
two-thirds of the portfolio’s alpha
since inception.
Profit zone
Assumed data inputs
Days to
Expiration
S&P 500 Level
at Initiation
VIX Level
at Initiation
49
$1,783
18.41%
1
Position
Strike
Contracts
Short Call
$1,900
50
$2.05 2
Short Put
$1,575
50
$6.10 3
Long Put
$1,450
90
$2.35 4
Net Credit
Price
$19,600
Loss zone
2,140
20%
2,070
16%
2,000
12%
1,930
8%
2
1,850
4%
1,780 1
0%
1,710
-4%
1,640
-8%
1,570 3
-12%
1,500
-16%
1,430 4
Index % Move from Trade Date
 Proprietary statistical model, which
analyzes more than 85 years of index
price movements, helps optimize the
portfolio’s profit zones.
Example: Range-Bound Spread
Index Level at Expiration
Sell options that have the greatest
probability of expiring worthless, to
maximize the premium per unit of risk.
The portfolio
benefits from
any index move
of +7% to -12%
-20%
Hedging
1,350
-24%
Diagram above is not intended to show a certain rate of return or even imply that an investor should expect a positive return. Note that in order to manage any of the Structured Alpha
strategies, AllianzGI will need collateral for the options contracts. In the event that, over a continued period of time, there is a sustained loss in closeout of the options contracts, there is a risk
that assets used as collateral for the options would need to be utilized to cover the loss incurred from the closeout of the options contracts. The strategies may utilize various indexes. See
additional disclosure at the end of this presentation. This is no recommendation or solicitation to buy or sell any particular security. A security mentioned as example above will not necessarily
be comprised in the portfolio by the time this document is disclosed or at any other subsequent date.
9
b
Directional Spread Positions
Designed to generate returns when equity indexes rise or fall more than normal over a multi-week period
 They have contributed
one-third of the portfolio’s alpha
since inception.
Profit zone
Assumed data inputs
Days to
Expiration
S&P 500 Level
at Initiation
VIX Level
at Initiation
49
$1,783
18.41%
1
Loss zone
2,140
20%
2,070
16%
2,000
12%
8%
1,930
3
Position
Strike
Contracts
Price
Long Call
$1,800
20
$27.70 2
Short Call
$1,860
80
$7.00 3
Long Put
$1,700
25
$18.40 4
Short Put
$1,600
50
$7.50 5
Long Put
$1,400
100
$1.65 6
1,850
4%
2
1,780 1
0%
1,710
-4%
4
-8%
1,640
1,570
5
-12%
-16%
1,500
-$24,400
The portfolio
benefits from
index moves of
-5 to -16%, or
+2 to +6%
-20%
1,430
6
1,360
Net Debit
Index % Move from Trade Date
 These positions act as portfolio
diversifiers, with the ability to add
incremental gains when markets
behave less typically.
Example: Directional Spread
Index Level at Expiration
Construct long-short option positions
that benefit from a large index move
to the upside and/or downside.
-24%
Hedging
Diagram above is not intended to show a certain rate of return or even imply that an investor should expect a positive return. Note that in order to manage any of the Structured Alpha
strategies, AllianzGI will need collateral for the options contracts. In the event that, over a continued period of time, there is a sustained loss in closeout of the options contracts, there is a risk
that assets used as collateral for the options would need to be utilized to cover the loss incurred from the closeout of the options contracts. The strategies may utilize various indexes. See
additional disclosure at the end of this presentation. This is no recommendation or solicitation to buy or sell any particular security. A security mentioned as example above will not necessarily
be comprised in the portfolio by the time this document is disclosed or at any other subsequent date.
10
b
Directional Spread Positions
Designed to generate returns when equity indexes rise or fall more than normal over a multi-week period
 They have contributed
one-third of the portfolio’s alpha
since inception.
Profit zone
Assumed data inputs
Days to
Expiration
S&P 500 Level
at Initiation
VIX Level
at Initiation
49
$1,783
18.41%
1
Loss zone
2,140
20%
2,070
16%
2,000
12%
1,930
8%
3
Position
Strike
Contracts
Long Call
$1,800
20
Short Call
$1,860
80
Price
$27.70 2
$7.00 3
Long Put
$1,700
25
$18.40 4
Short Put
$1,600
50
$7.50 5
Long Put
$1,400
100
$1.65 6
1,850
4%
2
1,780 1
0%
1,710
-4%
4
-8%
1,640
1,570
5
-12%
-16%
1,500
-20%
1,430
6
1,360
Net Debit
-$24,400
-24%
The portfolio benefits from
index moves of -5 to -16%, or
+2 to +6%
Index % Move from Trade Date
 These positions act as portfolio
diversifiers, with the ability to add
incremental gains when markets
behave less typically.
Example: Directional Spread
Index Level at Expiration
Construct long-short option positions that
benefit from a large index move to the
upside and/or downside.
As the S&P 500 index moves
below the upper strike (1700), the
long put goes into the money and
becomes profitable.
As the index moves below the
lower strike (1600), the short puts
go into the money and begin to
offset the profitability.
When the index is below the lower
strike (1600) by the difference
between the strikes, i.e. at 1500,
this is the bottom of the profit
zone.
Hedging
Diagram above is not intended to show a certain rate of return or even imply that an investor should expect a positive return. Note that in order to manage any of the Structured Alpha
strategies, AllianzGI will need collateral for the options contracts. In the event that, over a continued period of time, there is a sustained loss in closeout of the options contracts, there is a risk
that assets used as collateral for the options would need to be utilized to cover the loss incurred from the closeout of the options contracts. The strategies may utilize various indexes. See
additional disclosure at the end of this presentation. This is no recommendation or solicitation to buy or sell any particular security. A security mentioned as example above will not necessarily
be comprised in the portfolio by the time this document is disclosed or at any other subsequent date.
11
c
Hedging Positions
Designed to protect the portfolio in the event of a market crash
Buy put options – in a greater quantity than sold – to
protect the portfolio in the event of a market
crash/closure
Example: Hedging positions in range-bound and direction spreads
Profit zone
20%
2,140
 The puts are laddered for various market
outcomes to the downside
16%
Index Level at Expiration
2,070
2,000
12%
1,930
8%
1,850
4%
1,780
0%
1,710
-4%
1,640
-8%
1,570
-12%
1,500
-16%
1,430
-20%
1,360
Hedging
This is for guidance only. Diagram above is not intended to show a certain rate of return or even imply that an investor should expect a positive return.
Hedging
Index % Move from Trade Date
 They are designed for tail risk protection - a key
feature of the strategy’s risk management
Loss zone
-24%
12
d
A highly diversified portfolio of option positions
Alpha Engine
Options Portfolio
Cash Management
EONIA instruments
Collateral
20%
Portfolio of approx. 100 spread positions made up of 3 to 5 options each
…
20%
20%
20%
20%
Expiration after 5-6 weeks
Reinvestment after expiration
Time
Client Capital
Graphic is intended for illustration purposes only.
13
e
Multiple layers of risk control
Tail-risk hedging positions
Flexibility to
restructure positions
Real-time monitoring
Rigorous scenario testing
Independent risk-oversight
by multiple entities
Graphic is intended for illustration purposes only.
Risk
control
High liquidity
No borrowing
14
Expected behavior during market conditions
Market Conditions
Typical Outcome
Normal
 Portfolio expected to perform in line with its stated return target
 Potential for higher returns, lower risk
Volatile
 Unexpected strong market movement can have a negative performance impact on the
fund
 Performance could be more volatile than usual for a few weeks
Rapid change from low to high
volatility
Rapid change from high to low
volatility
 The portfolio could underperform for a few weeks
 Higher volatility levels would enable higher returns in subsequent months
 Higher return potential over a few weeks
 Lower volatility levels would bring performance potential back to normal levels of
expected return.
Measurement Methodology
 Critical to match the measurement period with 1 to 2 portfolio rotations (2 to 4 months)
 Over shorter measurement periods, results could be distorted by mark-to-market, volatility of
volatility and unrealized gains/losses
This is for guidance only.
15
2
Allianz Structured Alpha 250 :
Specific features
16
Portfolio Characteristics
Category
Structured Alpha 250
Alpha Target (annualized)
250 bps
Beta
EONIA
Standard deviation target
(annualized)
1% to 3%
Instruments
Listed (standard and flex) options on US equity and volatility indexes
(S&P 500, Russell 2000, NASDAQ 100, VXX, VIX)
Option duration
20 to 75 days
Option expiration
15 to 30 different expiration dates
Total put exposure
1.1 to 1.4 times more long puts than short puts
Collateral utilization
20% (approx.)
Number of options
175 to 300 individual option positions
Number of option spreads
80 to 100 spreads
Expected correlation, equities
0.3 or lower
Expected correlation, fixed income
0.0
Leverage
No borrowing
The characteristics above are typical for a Structured Alpha 250 portfolio. During any particular period the portfolio characteristics may vary from that shown above. Note that in order to manage any of
the Structured Alpha strategies, (including Structured Alpha 250), AllianzGI will need collateral for the options contracts. In the event that, over a continued period of time, there is a sustained loss in
closeout of the options contracts, there is a risk that assets used as collateral for the options would need to be utilized to cover the loss incurred from the closeout of the options contracts. The
strategies may utilize indexes other than those listed above. Allianz Structured Alpha 250 (share classes I3-EUR, P-EUR, P3-EUR) was launched on March 1st, 2016 and is registered for distribution in
Luxembourg and Germany.
17
Cumulative Excess Return of Structured Alpha US Equity 250
Through Market Cycles (US vehicle)
as at December 31, 2016
40
Strategy Inception: September 2005
35
2012
 With risk-control enhancements in effect,
portfolio outperforms during pullbacks in
May, October, December
30
25
20
15
2005-07
 Steady outperformance during rising
mid-2000’s equity market
2009
 Elevated volatility
enables strong
outperformance in
aftermath of crisis
10
5
0
-5
Fall 2008 - Financial Crisis
 Unwound all our short option positions to preserve client
collateral in event of prime broker bankruptcy
 Diversified our prime brokerage exposure thereafter
May 2010
 ‘Flash Crash’
illustrates mark-tomarket
phenomenon
 Highlights need for
3-4 month
measurement
period
August 2011
 Downgrade of US government credit rating brings
about severe V-shaped equity market
 Portfolio incurs larger-than-normal restructuring
costs
 Underperformance is catalyst for implementation of
risk enhancements
2013-2016
 Navigates August 2015 correction
with rapid rebound
 Outperforms during June 2013
‘Taper Tantrum’
 Delivers on-target
outperformance despite
persistently low volatility
-10
Sep 05 Mrz 06 Sep 06 Mrz 07 Sep 07 Mrz 08 Sep 08 Mrz 09 Sep 09 Mrz 10 Sep 10 Mrz 11 Sep 11 Mrz 12 Sep 12 Mrz 13 Sep 13 Mrz 14 Sep 14 Mrz 15 Sep 15 Mrz 16 Sep 16
Past performance is not a reliable indicator of future results. This example shows the performance of Allianz Structured Alpha US Equity 250 (US vehicle), which differs from Allianz Structured
Alpha 250 (Lux. Vehicle). Indeed, Structured Alpha US Equity 250 combines the Structured Alpha option overlay with passive equity exposure (the S&P 500 Index, in this case). Allianz
Structured Alpha 250 will have the EONIA as the beta, not the S&P 500 Index
18
2011 : Structured Alpha 250 Process enhancements
(US vehicle)
Summary of Changes
*In lower-volatility environments (VIX below 22), we will:
Drawdowns and recovery in times of
crisis :
– Reduce the quantity of premium-collection short put positions by 30%
– Increase the quantity of our directional bearish put spreads, and construct them differently
*In higher-volatility environments (VIX above 22), the original Structured Alpha configuration remains
in place
Impact on Performance and Volatility
60% to 70% expected reduction in drawdown risk at times when volatility rises rapidly (e.g. Aug 2011)
30% to 50% reduction in standard deviation of monthly returns and in downside correlation to equities
Lower restructuring costs, less-frequent intervention and greater percentage of positions held to
expiration
In exchange, in low-volatility environments we would expect to meet -- but no longer exceed -- our
annual alpha target
Results Since Implementation in January 2012
Annualized net excess return: 2.94%
Annualized tracking error: 1.54%
From September 2008 to November
2008, Structured Alpha 250
underperformed by -11.51%. It took 6
months for the fund to recover from this
drawdown.
From April 2010 to May 2010, Structured
Alpha 250 underperformed by -4.62%. It
took 2 months for the fund to recover
from this drawdown.
From July 2011 to August 2011,
Structured Alpha 250 underperformed by
-7.20%. It took 7 months for the fund to
recover from this drawdown.
In August 2015, Structured Return 250’s
net excess return was -1.83%. It took
two months for the fund to recover from
this drawdown.
Sharpe ratio: 1.91
Positive outperformance in 11 of the 15 months in which equity performance has been negative
Past performance is not a reliable indicator of future results. This example shows the performance of Allianz Structured Alpha US Equity 250 (US vehicle : not available for distribution in
Europe), which differs from Allianz Structured Alpha 250 (Lux. Vehicle). Indeed, Structured Alpha US Equity 250 combines the Structured Alpha option overlay with passive equity exposure (the
S&P 500 Index, in this case). Allianz Structured Alpha 250 will have the EONIA as the beta, not the S&P 500 Index
19
Allianz Structured Alpha 250
Share class overview
Benchmark
EONIA
Management company
Allianz Global Investors GmbH, Frankfurt
Investment Manager
Allianz Global Investors U.S. LLC, New York
Risk class
3 : conservative
Fund manager
Greg Tournant
Financial year end
30/9/
Net assets
76.91 mn. EUR
Share class
ISIN
German security no.
Registered for sale in
Fund currency
Distribution
Min. investment (prospectus)
Launch date
Share class volume
Front-end load (%) 1
All-in fee in % p.a. 2
TER (%) 4
I3 - EUR
IT3 - EUR
P - EUR
P10 - EUR
P3 - EUR
LU1366192505
LU1480530143
LU1366192760
LU1527140179
LU1366192927
A2AES2
A2AQLE
A2AES3
A2DG67
A2AES4
FR, DE, ES, SE, FR, DE, SE, CH, IT,
FR, DE, ES, SE,
CH, GB, AT, LU, NL
GB, AT, LU, NL CH, GB, AT, LU, NL
EUR
EUR
EUR
FR, DE, SE, CH,
FR, DE, ES, SE,
GB, AT, LU, NL CH, GB, AT, LU, NL
EUR
EUR
distributing
accumulation
distributing
distributing
distributing
1,000,000 EUR
1,000,000 EUR
1,000,000 EUR
100,000 EUR
1,000,000 EUR
01.03.2016
12.10.2016
01.03.2016
05.01.2017
01.03.2016
30.85 mn. EUR
30.87 mn. EUR
7.26 mn. EUR
7.93 mn. EUR
1.023.74 EUR
currently 0.00 (max. currently 0.00 (max. currently 0.00 (max. currently 0.00 (max. currently 0.00 (max.
2.00)
2.00)
2.00)
2.00)
2.00)
1.20
1.215
See next page for footnotes.
Source: Allianz Global Investors; data as at 30.04.2017
currently 0.012
(max. 1.20)
0.20 +
performance- currently 0.80 (max.
related3
1.20)
0.806
1.20
1.267
20
Allianz Structured Alpha 250
1
If the acquisition of Fund units is subject to a sales charge, up to 100% of such sales charge may be collected by the distributor; the exact amount shall be mentioned by the distributor as part of the
investment advisory process. This also applies to any payment by the Management Company of an ongoing distribution fee from the all-in fee to the distributor.
2
The all-in fee includes the expenses previously called management, administration and distribution fees.
3
Fee linked to the performance of the unit class (Outperformance Fee): up to 30% p.a. of any returns the unit class achieves above the benchmark, the EONIA. Please refer to the current prospectus for
details on the calculation.
4
TER (Total Expense Ratio): Total cost (except transaction costs) charged to the fund during the last financial year.
5
The reported TER of 1.21 % p.a. relates to an abridged financial year. Since the TER is shown on an annualised basis, it may differ from the costs of 1.21 % p.a. that are actually expected.
6
The reported TER of 0.8 % p.a. relates to an abridged financial year. Since the TER is shown on an annualised basis, it may differ from the costs of 0.25 % p.a. that are actually expected.
7
The reported TER of 1.26 % p.a. relates to an abridged financial year. Since the TER is shown on an annualised basis, it may differ from the costs of 1.25 % p.a. that are actually expected.
Source: Allianz Global Investors; data as at 30.04.2017
21
Allianz Structured Alpha Strategy Highlights
An absolute return strategy that pursues risk-controlled returns via the
options market
Potential to perform whether equity markets are up or down, smooth or
volatile
Liquid, transparent, accountable
Successful performance track record since strategy inception in 2005
22
A
Appendix
-Allianz Structured Alpha 250 performance info
-Allianz Structured Alpha Strategy key info
-Team and Strategy information
23
A
Appendix
-Allianz Structured Alpha 250 performance info
-Allianz Structured Alpha Strategy key info
-Team and Strategy information
24
Allianz Structured Alpha 250 pro forma performance
Structured Alpha 250 pro forma
Net of fees, as of 31 December 2016
Structured Alpha 250, net
Annualized (%)
EONIA
3,9
4
2,8
3,0
2,7
2
1,2
0,7
0,0
0
-0,1
-0,1
-0,3
-2
Quarter-to-Date
Year-to-Date
3 Year
5 Year
Since Inception
Calendar (%)
Source: Allianz Global Investors, as at 31/12/2016. The UCITS fund Allianz Structured Alpha 250 was launched on 01 March 2016. Pro forma returns were calculated by taking the net excess returns of
the Structured Alpha U.S. Equity 250 composite, and then adding those monthly excess returns to the return of the EONIA. This pro forma return stream approximates the net returns that would have
been realized for an EONIA + 250 portfolio. Returns for 2005 reflect partial annual returns starting September 1, 2005.
Source: Allianz Global Investors, as at 31/12/2016. Structured Alpha 250 pro forma performance net of fees. Inception date of Structured Alpha U.S. Equity 250 composite: September 1, 2005.
Performance of less than one year has not been annualized. The data is shown only as an example of a Structured Alpha strategy. Performance for an investor in any of the Structured Alpha strategies
may differ from the performance shown above due to application of the cumulative high watermark, frequency of performance fee calculation, expenses, choice of an underlying portfolio different than the
90 Day T-Bill, and other considerations, including those related to the timing of an investor’s initial investment and any subsequent cash flows. Please see the Appendix for additional disclosures and
25
GIPS ® presentation for the composite presented above. Past performance is not a reliable indicator of future results.
Allianz Structured Alpha 250 pro forma performance
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
2005
Sept
Oct
Nov
Dec
Year
0.16%
0.02%
0.64%
-0.21%
0.62%
2006
0.77%
0.52%
0.48%
0.52%
0.00%
0.77%
0.72%
0.40%
0.43%
0.66%
0.24%
0.60%
6.29%
2007
0.65%
-0.64%
1.23%
0.93%
0.56%
0.38%
0.06%
1.45%
0.78%
0.49%
0.77%
0.36%
7.26%
2008
0.16%
1.04%
0.97%
1.07%
0.67%
-0.11%
1.59%
0.42%
-3.56%
-6.98%
-3.61%
6.41%
-2.52%
2009
0.23%
0.66%
2.45%
1.74%
0.98%
0.97%
0.54%
0.77%
0.69%
-0.27%
1.74%
0.67%
11.72%
2010
-0.18%
1.65%
0.53%
-0.84%
-3.76%
1.98%
3.00%
0.49%
0.23%
0.89%
0.01%
0.97%
4.92%
2011
0.42%
0.54%
0.57%
0.56%
0.43%
0.55%
-0.38%
-6.86%
0.79%
3.00%
1.24%
0.85%
1.41%
2012
-0.07%
0.04%
0.46%
0.44%
0.10%
1.11%
0.34%
0.34%
0.22%
0.08%
0.18%
0.01%
3.30%
2013
0.29%
0.34%
0.42%
0.26%
-0.30%
0.50%
0.38%
0.08%
0.40%
0.50%
0.36%
-0.01%
3.27%
2014
-0.47%
0.27%
0.67%
0.33%
0.34%
0.26%
-0.35%
0.99%
0.06%
0.06%
0.55%
0.13%
2.86%
2015
0.39%
0.58%
0.27%
0.26%
0.21%
0.00%
0.59%
-1.84%
0.80%
1.21%
0.23%
-0.09%
2.60%
2016
-0.08%
0.36%
0.17%
0.12%
0.46%
0.16%
0.07%
0.25%
0.23%
0.18%
0.55%
0.12%
2.62%
Net pro forma
2017
performance1
-0.01%
0.10%
Net performance of Allianz Structured Alpha 250
0.23%
Net performance of Allianz Structured Alpha 250
composite 2
0.32%
composite 2
Source: Allianz Global Investors, as at 31.03.2017. Past performance is not a reliable indicator of future results. 1 The performance returns provided above are preliminary figures as of March 31, 2017. Preliminary performance may vary from actual, finalized performance.
Preliminary performance for March 2017 has been linked to the actual composite performance for prior periods. Finalized performance through January, once available, will be provided separately. Please contact your AllianzGI representative with any questions. Structured
Alpha 250 pro forma performance net of fees until 31/03/2016. Pro forma returns were calculated by taking the net excess returns of the Structured Alpha U.S. Equity 250 composite, and then adding those monthly excess returns to the return of the EONIA. This pro forma
return stream approximates the net returns that would have been realized for an EONIA + 250 portfolio. Inception date of Structured Alpha U.S. Equity 250 composite: September 1, 2005. Unless otherwise noted, index returns are presented as total returns, which reflect both
price performance and income from dividend payments, if any, but do not reflect fees, brokerage commissions or other expenses of investing. The data is shown only as an example of a Structured Alpha strategy. Performance for an investor in any of the Structured Alpha
strategies may differ from the performance shown above due to application of the cumulative high watermark, frequency of performance fee calculation, expenses, choice of an underlying portfolio different than the 90 Day T-Bill, and other considerations, including those related
to the timing of an investor’s initial investment and any subsequent cash flows. Please see the Appendix for additional disclosures and GIPS ® presentation for the composite presented above. 2 Net performance of Allianz Structured Alpha 250 composite from 01/04/2016
onwards. Data net of fees. Allianz Structured Alpha 250 composite inception date: April 1, 2016. Performance for an investor in any of the Structured Alpha strategies may differ from the performance shown above due to application of the cumulative high watermark, frequency
of performance fee calculation, expenses, choice of an underlying portfolio different than the EONIA and other considerations, including those related to the timing of an investor’s initial investment and any subsequent cash flows. Additional disclosures and GIPS ® presentation
for the Allianz Structured Alpha 250 composite will only be available after one year. Past performance is not indicative of future results.
26
Allianz Structured Alpha 250 pro forma performance since inception
Structured Alpha 250 pro forma vs. market indexes (%)
Net of fees, from inception 1 September 2005 to 31 December 2016
Performance (since inception, %)
Annualized
Cumulative
Structured Alpha 250, net of fees
3.87
53.83
EONIA
1.20
14.42
S&P 500 Index
7.76
133.24
Barclays Capital US Aggregate Index
4.17
58.93
Source: Allianz Global Investors, as at 31/12/2016. The UCITS fund Allianz Structured Alpha 250 was launched on 01 March 2016. Pro forma returns were calculated by taking the net excess
returns of the Structured Alpha U.S. Equity 250 composite, and then adding those monthly excess returns to the return of the EONIA. This pro forma return stream approximates the net
returns that would have been realized for an EONIA + 250 portfolio. Returns for 2005 reflect partial annual returns starting September 1, 2005.
Source: Allianz Global Investors, as at 30/06/2016. Structured Alpha 250 pro forma performance net of fees. Inception date of Structured Alpha U.S. Equity 250 composite: September 1,
2005. Performance of less than one year has not been annualized. The data is shown only as an example of a Structured Alpha strategy. Performance for an investor in any of the Structured
Alpha strategies may differ from the performance shown above due to application of the cumulative high watermark, frequency of performance fee calculation, expenses, choice of an
underlying portfolio different than the 90 Day T-Bill, and other considerations, including those related to the timing of an investor’s initial investment and any subsequent cash flows. Please see
the Appendix for additional disclosures and GIPS ® presentation for the composite presented above. Past performance is not a reliable indicator of future results.
27
AllianzGI Structured Alpha U.S. Equity 250 Composite
Schedule of composite performance results as at December 31, 2015
Structured Alpha U.S. Equity 250 Composite
Year
Composite
Return Gross (%)
Composite
Return
Net (%)
S&P 500
Index (1)
Composite
3-Yr St.
Dev. (%)(3)
Benchmark
3-Yr St.
Dev. (%)(3)
Internal
Dispersion (6)
Number of Portfolios in
the Composite at
Year End
Composite Total Assets
at
Year End (USD $ M)
Total Firm
Assets
(USD $ M)
2015
5.1
4.0
1.4
12.1
10.5
-
1
109
435,785
2014
18.0
16.7
13.7
9.7
9.0
-
1
504
429,247
2013
38.3
36.5
32.4
16
11.9
-
1
438
420,927
2012
20.9
19.4
16
20.2
15.1
-
1
400
359,447
2011
1.6
1.9
2.1
24.0
18.7
-
1
336
137,567
2010
21.3
19.5
15.1
29.8
21.9
-
1
337
149,654
2009 (3)
45.5
39.5
26.5
27.1
19.6
-
1
281
140,639
2008 (3)
-44.8
-42.4
-37.0
22.8
15.1
-
1
9
78,689
2007 (3,5)
10.1
8.7
5.5
-
-
-
1
7
135,107
2006 (3,5)
21.2
19.5
15.8
-
-
-
1
6
121,767
(1) The S&P 500 returns, which do not reflect the deduction of investment fees, have been provided for comparison purposes.
(2) Partial years, September 1, 2005 through December 31, 2005.
(3) The percentage of non-fee paying assets for each year-end were as follows: 2005-100%, 2006-100%, 2007-100%, 2008-100%, 2009-100%.
(4) The three -year annualized standard deviation measures the variability of the composite and the index returns over the preceding 36-month period.
(5) The three-year annualized standard deviation is not presented because there are less than 36 monthly returns for the composite and benchmark.
(6) Standard deviation is not considered statistically meaningful when there are five or fewer portfolios in the composite during the period.
The strategy may from time to time involve uncovered option writing, which exposes the portfolio to a risk of significant loss. The potential loss of uncovered call writing is unlimited. The writer of
an uncovered call may incur large losses if the value of the underlying instrument increases significantly above the exercise price. The writer of an uncovered put option bears a risk of loss if the
value of the underlying instrument declines below the exercise price, with the maximum loss incurred where the underlying instrument value falls to zero. In the case of any uncovered option, the
writer of the option has additional risk, in that if the underlying instrument moves against an uncovered position, the option writer may have to make significant additional margin payments. To
meet the margin requirements (or the payment obligation upon exercise of an uncovered put) the writer may have to liquidate on short notice other assets in the portfolio.
The use of derivatives involves risks different from, and possibly greater than, the risks associated with investing directly in the investments underlying the derivatives. Derivatives can be more
volatile and involve significant risk and can disproportionately increase losses and reduce opportunities for gains.
Past performance is not a reliable indicator of future results.
28
AllianzGI Structured Alpha U.S. Equity 250 GIPS Disclosure
Structured Alpha U.S. Equity 250
Minimum Separate Account
$200 M
30% Quarterly Performance-based Fee over S&P 500 Index
The Firm: For purposes of compliance with the Global Investment
Performance Standards (GIPS®) the “firm” is defined as Allianz Global
Investors. The Firm claims compliance with the Global Investment
Performance Standards (GIPS®) and has prepared and presented this
report in compliance with the GIPS standards. Allianz Global Investors,
and/or its predecessor firm, has been independently verified for the periods
1 January 2007 to 31 December 2015. The verification reports are
available upon request. Verification assesses whether (1) the firm has
complied with all the composite construction requirements of the GIPS
standards on a firm-wide basis and (2) the firm’s policies and procedures
are designed to calculate and present performance in compliance with the
GIPS standards. Verification does not ensure the accuracy of any specific
composite presentation.
The Structured Alpha U.S. Equity 250 Composite has been examined for
the periods September 1, 2005 through December 31, 2006 and for periods
January 1, 2009 through December 31, 2015. The verification and
performance examination reports are available upon request.
Allianz Global Investors is a global asset management business, operating
under the marketing name Allianz Global Investors through affiliated
entities worldwide. For purposes of the Global Investment Performance
Standards (GIPS®), the “firm" is defined as the group of firms that
coordinate their research, investment and/or trading activities (the "Global
Investment Platform"). In the case of certain firms, such coordination may
be limited to common supervision by the firm’s Global Chief Investment
Officer. As of December 31, 2015, the firm had approximately USD436
billion in assets under management. Also operating under the marketing
name Allianz Global Investors, there are certain investment advisory firms
that are not part of the Global Investment Platform that have approximately
USD44 billion in assets under management. While these firms are affiliates
of the firm they are excluded from the definition of the firm for purposes of
GIPS and their assets under management are therefore excluded from
Total Firm Assets. For periods ending before December 31, 2012, the firm
was defined as a global investment advisory organization, consisting of
separate affiliated firms, which operated under the brand name RCM
("RCM Global"), and the Global Investment Platform consisted only of
those entities included within the RCM Global GIPS Firm definition. In
2012, through a global restructuring of the Allianz Global Investors
business, the Global Investment Platform was expanded to include
additional investment advisory firms. Total Firm Assets prior to 2012 reflect
only those assets of RCM Global. Additional information regarding the
firm’s policies and procedures for calculating and
reporting performance results is available upon request. To obtain a list
and description of all of Allianz Global Investors’ composites, or for a
complete list of the firms that comprise Allianz Global Investors and their
periods of verification, , please call 619-687-8000 or write to Allianz Global
Investors U.S. LLC, 600 West Broadway, San Diego, California 92101.
The Composite: Structured Alpha U.S. Equity 250 is an enhanced index
strategy which, using our proprietary approach to investing in equity index
options, seeks to provide alpha-enhancement potential that has low
correlation to its underlying S&P 500 Index passive equity portfolio.
Structured Alpha U.S. Equity 250 seeks to deliver 2.5% annually, net of
fees and expenses, on top of the return of the S&P 500 Index, with an
expected annualized tracking error of 1% to 3%. The strategy uses equity
index options – puts and calls, long and short, which may or may not have
“implied leverage”, depending on the configuration and combination of
positions.
The composite, created and incepted on September 1, 2005, is comprised
of accounts managed by AllianzGI US in this style. The accounts that make
up the Composite frequently use calls, puts and futures, which may
increase or decrease exposure to fluctuations in market prices.
Prior to July 1, 2010, the composite performance presented consists of the
portfolios of Oppenheimer Capital, which, as a result of an internal
corporate reorganization, now are part of the Firm. Such performance
results have been linked to the results achieved at the Firm in compliance
with the GIPS standards on performance record portability.
Portfolio Returns: Returns are calculated on a total return basis, including
all dividends and interest, accrued income, realized and unrealized gains or
losses, and are net of all brokerage commissions, execution costs and
without provision for federal or state income taxes. Performance results are
expressed in U.S. dollars.
Fees: Performance results stated to be “gross” do not reflect the deduction
of investment advisory fees. Gross performance results earned on behalf
of AllianzGI US’s clients will be reduced by AllianzGI US’s advisory fees.
Net performance results, which reflect the deduction of investment advisory
fees, are also displayed.
In order to calculate the net performance, the gross performance is
reduced by the highest annual advisory fee charged to any account within
the Composite. Actual account performance will vary depending on the size
of a portfolio and the applicable fee schedule. AllianzGI US’s standard
advisory fees, as reported in Form ADV Part 2A Brochure for the
investment style described herein, is 30% of quarterly performance over
the S&P 500 Index.
Index: The S&P 500 Index is a capitalization-weighted index of 500 stocks
that attempts to measure performance of the broad domestic economy
through changes in the aggregate market value of 500 stocks representing
major industries. Investors may not make direct investments into any index.
All returns presented are calculated using U.S. dollars.
The S&P 500 Index is referred to for reference purposes only and is not
intended to parallel the risk or investment style of any particular investment
style.
Internal Dispersion: Internal Dispersion is an asset weighted dispersion
measure that explains the deviation of gross annual account returns from
the Composite annual account return. Assuming “normal” distribution of
returns, plus or minus one standard deviation from the mean return
encompasses 68% of all possible outcomes. Internal Dispersion may not
be meaningful for composites consisting of five or fewer portfolios or for
periods of less than one full year.
Past performance is not indicative of future results. Gross returns do
not give effect to investment advisory fees, which would reduce such
returns. Investment advisory fees are described further in Form ADV Part
2A Brochure of the investment adviser. Advisory fees deducted periodically
from accounts can have an impact on performance. As an example, the
effect of investment advisory fees on the total value of a portfolio assuming
(a) $1,000,000 investment, (b) portfolio return of 5% per year, and (c)
1.00% annual investment advisory fee would be $10,268.81 in the first
year, $56,741.68 over five years, and $129,160.05 over ten years. Actual
fees charged may vary by portfolio due to various conditions, including
account size. The net-of fee results for individual accounts and for different
time periods may vary. Unless otherwise noted, equity index performance
is calculated with gross dividends reinvested and estimated tax withheld,
and bond index performance includes all payments to bondholders, if any.
The benchmark may not accurately represent the investment style of the
given composite. Index calculations do not reflect fees, brokerage
commissions or other expenses of investing. Investors may not make direct
investments into any index.
29
A
Appendix
-Allianz Structured Alpha 250 performance info
-Allianz Structured Alpha Strategy key info
-Team and Strategy information
30
Portfolio Characteristics
Category
Structured Alpha Strategy
Alpha Target (annualized)
500 bps
Beta
EONIA
Standard deviation target
(annualized)
3% to 5%
Instruments
Listed, exchange-traded options on US equity and volatility indexes
Option duration
20 to 75 days
Option expiration
15 to 30 different expiration dates
Total put exposure
1.1 to 1.4 times more long puts than short puts
Collateral utilization
20%
Number of options
175 to 300 individual option positions
Number of option spreads
80 to 100 spreads
Expected correlation, equities
0.3 or lower
Expected correlation, fixed income
0.0
Leverage
No borrowing
Source Allianz Global Investor; as at January 2017
31
Structured Alpha 500 Composite performance1
Structured Alpha 500 Composite
Net of fees, as at 31 December 2016
Annualized (%)
Structured Alpha 500, net
90-Day T-Bill
8
5,9
5,4
6
5,1
4,9
4
1,4
2
1,2
0,3
0,1
0,1
0,1
0
Quarter-to-Date
1 Year
3 Year
5 Year
Since Inception
Calendar (%)
20
15
13,8
12,0
11,1
10
5
3,0
4,8
6,0
5,0
2,1
1,2
0,2
5,6
5,3
0,1
1,1
0,1
0,1
4,8
0,1
5,4
4,5
0,0
0,1
0,3
0
-5
-4,5
-10
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
1
Please note that the relevant composite for Allianz Structured Alpha Strategy (UCITS vehicle) is named after its US vehicle equivalent, Allianz Structured Alpha 500.
1. Net alpha since inception is calculated from the difference of the cumulative composite and benchmark returns, annualized using the calendar days since inception, and may differ from the
annualized net of fees return shown in the chart above. 2. Denotes partial year. Structured Alpha 500 composite inception date: September 1, 2005.
Performance of less than one year has not been annualized. For net of fees calculations, returns reflect the deduction of a performance fee equal to 30% of the out performance or underperformance
over the 90-Day T-Bill, including the application of a high watermark, as well as operational expenses of a representative account in this strategy. Performance for an investor in any of the Structured
Alpha strategies (including Structured Alpha 500) may differ from the performance shown above due to application of the cumulative high watermark, frequency of performance fee calculation,
expenses, choice of an underlying portfolio different than the 90-Day T-Bill, and other considerations, including those related to the timing of an investor’s initial investment and any subsequent cash
flows. Past performance is not indicative of future results. The data above is supplemental information and supplements the Structured Alpha 500 GIPS compliant composite presentation in the
Appendix. See additional disclosures at the end of this presentation.
32
Structured Alpha 500 Composite1
Long-term performance track record
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
2005
Sept
Oct
Nov
Dec
Year
1.07%
0.39%
0.90%
0.59%
2.99%
2006
1.24%
0.79%
1.05%
0.70%
-0.76%
2.23%
1.05%
1.26%
0.88%
1.21%
0.79%
0.92%
11.95%
2007
1.22%
-1.58%
1.95%
1.74%
1.12%
1.78%
-0.46%
2.47%
1.41%
1.01%
1.45%
0.99%
13.84%
2008
-0.10%
2.22%
0.91%
1.05%
0.89%
-0.55%
2.00%
0.91%
-5.98%
-6.57%
-1.09%
2.19%
-4.53%
2009
0.28%
0.80%
1.02%
1.27%
1.00%
0.98%
0.47%
0.88%
1.03%
-0.21%
2.19%
0.88%
11.09%
2010
-0.24%
2.00%
0.68%
-1.15%
-4.99%
2.77%
3.51%
0.66%
0.26%
1.25%
-0.01%
1.37%
6.00%
2011
0.57%
0.81%
0.86%
0.78%
0.55%
0.72%
-0.67% -10.14%
1.11%
4.16%
1.82%
1.20%
1.09%
2012
-0.14%
0.01%
0.69%
0.71%
0.15%
1.62%
0.55%
0.55%
0.40%
0.20%
0.31%
0.17%
5.33%
2013
0.45%
0.54%
0.78%
0.44%
-0.43%
0.97%
0.54%
0.12%
0.71%
0.75%
0.50%
0.13%
5.60%
2014
-0.67%
0.33%
1.09%
0.51%
0.55%
0.49%
-0.53%
1.51%
0.13%
0.22%
0.83%
0.27%
4.81%
2015
0.51%
1.05%
0.42%
0.37%
0.41%
0.09%
0.99%
-3.64%
1.75%
1.94%
0.43%
0.17%
4.47%
2016
-0.14%
0.75%
0.57%
0.35%
0.81%
0.24%
0.24%
0.50%
0.57%
0.27%
0.95%
0.19%
5.42%
2017
0.27%
0.07%
0.59%
0.94%
1 Please
note that the relevant composite for Allianz Structured Alpha Strategy (UCITS vehicle) is named after its US vehicle equivalent, Allianz Structured Alpha 500.
Source: Allianz Global Investors, as at 31.03.2017. USD, net of fees. Inception date of Structured Alpha 500 composite: September 1, 2005. Unless otherwise noted, index returns are presented as
total returns, which reflect both price performance and income from dividend payments, if any, but do not reflect fees, brokerage commissions or other expenses of investing. The data is shown only
as an example of a Structured Alpha strategy. Performance for an investor in any of the Structured Alpha strategies may differ from the performance shown above due to application of the cumulative
high watermark, frequency of performance fee calculation, expenses, choice of an underlying portfolio different than the 90 Day T-Bill, and other considerations, including those related to the timing of
an investor’s initial investment and any subsequent cash flows. Please see the Appendix for additional disclosures and GIPS ® presentation for the composite presented above. Past performance is
not a reliable indicator of future results.
33
Structured Alpha 500 Composite performance since inception1
Structured Alpha 500 Composite vs. Market Indexes (%)
Net of fees, from inception 1 September 2005 to 31 December 2016
Performance (since inception, %)
Annualized
Cumulative
Structured Alpha 500, net
5.90
91.58
Alpha, net
5.15
76.71
90-Day T-Bill
1.23
14.92
S&P 500 Index
7.76
133.24
Barclays Capital US Aggregate Index
4.17
58.93
1
Please note that the relevant composite for Allianz Structured Alpha Strategy (UCITS vehicle) is named after its US vehicle equivalent, Allianz Structured Alpha 500.
Source: Allianz Global Investors, as at 31/12/2016, USD, net of fees. Inception date of Structured Alpha 500 composite: September 1, 2005. Net alpha reflects outperformance or
underperformance of the fund (net of fees), compared to the stated benchmark. Unless otherwise noted, index returns are presented as total returns, which reflect both price performance and
income from dividend payments, if any, but do not reflect fees, brokerage commissions or other expenses of investing. The data is shown only as an example of a Structured Alpha strategy.
Performance for an investor in any of the Structured Alpha strategies may differ from the performance shown above due to application of the cumulative high watermark, frequency of
performance fee calculation, expenses, choice of an underlying portfolio different than the 90 Day T-Bill, and other considerations, including those related to the timing of an investor’s initial
investment and any subsequent cash flows. Please see the Appendix for additional disclosures and GIPS ® presentation for the composite presented above. Past performance is not a
reliable indicator of future results.
34
Structured Alpha 500 Composite1
Schedule of Composite Performance Results as at December 31, 2015
Structured Alpha 500 Composite
Year
Composite
Return Gross (%)
Composite
Return Net (%)
Merrill Lynch US 3Month
T-Bill Index (1)
Composite
3-Yr St.
Dev. (%)(3)
Benchmark
3-Yr St.
Dev. (%)(3)
Internal
Dispersion (5)
Number of Portfolios in
the Composite at
Year End
Composite Total Assets
at
Year End (USD $ M)
Total Firm
Assets
(USD $ M)
2015
6.3
4.5
0.1
4.3
0.0
-
1
112
435,785
2014
6.9
4.8
0.0
2.3
0.0
-
1
61
429,247
2013
8.0
5.6
0.1
9.5
0.0
-
2
73
420,927
2012
7.6
5.3
0.1
11.2
0.0
-
1
88
359,447
2011
1.1
1.1
0.1
11.3
0.0
-
1
95
137,567
2010
8.4
6
0.1
10.5
0.4
-
1
273
149,654
2009
16.1
11.1
0.2
9.3
0.6
-
1
212
140,639
2008
-7.5
-4.5
2.1
9.3
0.5
-
1
200
78,689
2007 (4)
17.8
13.8
5.0
-
-
-
1
25
135,107
2006 (4)
15.2
12
4.8
-
-
-
1
34
121,767
(1) The 90 Day T-Bill Index returns, which do not reflect the deduction of investment fees, have been provided for comparison purposes and have not been examined by independent
accountants
(2) Partial years, September 1, 2005 through December 31, 2005.
(3) The three -year annualized standard deviation measures the variability of the composite and the index returns over the preceding 36-month period.
(4) The three-year annualized standard deviation is not presented because there are less than 36 monthly returns for the composite and benchmark.
(5) Standard deviation is not considered statistically meaningful when there are five or fewer portfolios in the composite during the period.
1
Please note that the relevant composite for Allianz Structured Alpha Strategy (UCITS vehicle) is named after its US vehicle equivalent, Allianz Structured Alpha 500.
The use of derivatives involves risks different from, and possibly greater than, the risks associated with investing directly in the investments underlying the derivatives. Derivatives can be more
volatile and involve significant risk and can disproportionately increase losses and reduce opportunities for gains. Past performance is not a reliable indicator of future results.
35
Structured Alpha 500 GIPS Disclosure
Structured Alpha 500
30% Quarterly Performance-based Fee over 90 Day T-Bill
The Firm: For purposes of compliance with the Global Investment
Performance Standards (GIPS®) the “firm” is defined as Allianz Global
Investors. The Firm claims compliance with the Global Investment
Performance Standards (GIPS®) and has prepared and presented this
report in compliance with the GIPS standards. Allianz Global Investors,
and/or its predecessor firm, has been independently verified for the periods
1 January 2007 to 31 December 2015. The verification reports are
available upon request. Verification assesses whether (1) the firm has
complied with all the composite construction requirements of the GIPS
standards on a firm-wide basis and (2) the firm’s policies and procedures
are designed to calculate and present performance in compliance with the
GIPS standards. Verification does not ensure the accuracy of any specific
composite presentation.
The Structured Alpha 500 Composite has been examined for the periods
September 1, 2005 through December 31, 2006 and for periods January 1,
2009 through December 31, 2015. The verification and performance
examination reports are available upon request.
Allianz Global Investors is a global asset management business, operating
under the marketing name Allianz Global Investors through affiliated
entities worldwide. For purposes of the Global Investment Performance
Standards (GIPS®), the “firm" is defined as the group of firms that
coordinate their research, investment and/or trading activities (the "Global
Investment Platform"). In the case of certain firms, such coordination may
be limited to common supervision by the firm’s Global Chief Investment
Officer. As of December 31, 2015, the firm had approximately USD436
billion in assets under management. Also operating under the marketing
name Allianz Global Investors, there are certain investment advisory firms
that are not part of the Global Investment Platform that have approximately
USD44 billion in assets under management. While these firms are affiliates
of the firm they are excluded from the definition of the firm for purposes of
GIPS and their assets under management are therefore excluded from
Total Firm Assets. For periods ending before December 31, 2012, the firm
was defined as a global investment advisory organization, consisting of
separate affiliated firms, which operated under the brand name RCM
("RCM Global"), and the Global Investment Platform consisted only of
those entities included within the RCM Global GIPS Firm definition. In
2012, through a global restructuring of the Allianz Global Investors
business, the Global Investment Platform was expanded to include
additional investment advisory firms. Total Firm Assets prior to 2012 reflect
only those assets of RCM Global. Additional information regarding the
firm’s policies and procedures for calculating and reporting performance
results is available upon request. To obtain a list and description of all of
Allianz Global Investors’ composites, or
for a complete list of the firms that comprise Allianz Global Investors and
their periods of verification, , please call 619-687-8000 or write to Allianz
Global Investors U.S. LLC, 600 West Broadway, San Diego, California
92101.
The Composite: Structured Alpha 500 is an absolute-return strategy
which, using our proprietary approach to investing in equity index options,
seeks to achieve a consistent return stream that has low correlation with
the movement of equity or fixed income markets. Structured Alpha 500
seeks to deliver 5% annually, net of fees and expenses, on top of the
return of the 90 Day T-Bill with an expected annualized tracking error of
3% to 5%. The strategy uses equity index options – puts and calls, long
and short, which may or may not have “implied leverage”, depending on
the configuration and combination of positions.
The composite, created and incepted on September 1, 2005, is comprised
of accounts managed by AllianzGI US in this style. The accounts that make
up the Composite frequently use calls, puts and futures, which may
increase or decrease exposure to fluctuations in market prices.
Prior to July 1, 2010, the composite performance presented consists of the
portfolios of Oppenheimer Capital, which, as a result of an internal
corporate reorganization, now are part of the Firm. Such performance
results have been linked to the results achieved at the Firm in compliance
with the GIPS standards on performance record portability.
Prior to January 1, 2013, the composite was known as Structured AlphaAbsolute Yield.
Portfolio Returns: Returns are calculated on a total return basis, including
all dividends and interest, accrued income, realized and unrealized gains or
losses, and are net of all brokerage commissions, execution costs and
without provision for federal or state income taxes. Performance results are
expressed in U.S. dollars.
Fees: Performance results stated to be “gross” do not reflect the deduction
of investment advisory fees. Gross performance results earned on behalf
of AllianzGI US’s clients will be reduced by AllianzGI US’s advisory fees.
Net performance results, which reflect the deduction of investment advisory
fees, are also displayed.
In order to calculate the net performance, the gross performance is
reduced by the highest annual advisory fee charged to any account within
the Composite. Actual account performance will vary depending on the size
of a portfolio and the applicable fee schedule. AllianzGI US’s standard
advisory fees, as reported in Form ADV Part 2A Brochure for the
investment style described herein, is 30% of quarterly performance over
the 90-Day T-Bill.
Index: The Merrill Lynch US 3-Month Treasury Bill Index is comprised of a
single issue purchased at the beginning of the month and held for a full
month. At the end of the month that issue is sold and rolled into a newly
selected issue. The issue selected at each month-end rebalancing is the
outstanding Treasury Bill that matures closest to, but not beyond, three
months from the re-balancing date. To qualify for selection, an issue must
have settled on or before the month-end rebalancing date. While the index
will often hold the Treasury Bill issued at the most recent 3-month auction,
it is also possible for a seasoned 6-month Bill to be selected.
The 3-Month T-Bill benchmark is referred to for reference purposes only
and is not intended to parallel the risk or investment style of any particular
investment style. The returns for this unmanaged index do not include any
transaction costs, management fees or other costs. All returns presented
are calculated using U.S. dollars.
Internal Dispersion: Internal Dispersion is an asset weighted dispersion
measure that explains the deviation of gross annual account returns from
the Composite annual account return. Assuming “normal” distribution of
returns, plus or minus one standard deviation from the mean return
encompasses 68% of all possible outcomes. Internal Dispersion may not
be meaningful for composites consisting of five or fewer portfolios or for
periods of less than one full year.
Past performance is not indicative of future results. Gross returns do
not give effect to investment advisory fees, which would reduce such
returns. Investment advisory fees are described further in Form ADV Part
2A Brochure of the investment adviser. Advisory fees deducted periodically
from accounts can have an impact on performance. As an example, the
effect of investment advisory fees on the total value of a portfolio assuming
(a) $1,000,000 investment, (b) portfolio return of 5% per year, and (c)
1.00% annual investment advisory fee would be $10,268.81 in the first
year, $56,741.68 over five years, and $129,160.05 over ten years. Actual
fees charged may vary by portfolio due to various conditions, including
account size. The net-of fee results for individual accounts and for different
time periods may vary. Unless otherwise noted, equity index performance
is calculated with gross dividends reinvested and estimated tax withheld,
and bond index performance includes all payments to bondholders, if any.
The benchmark may not accurately represent the investment style of the
given composite. Index calculations do not reflect fees, brokerage
commissions or other expenses of investing. Investors may not make direct
investments into any index.
36
2011 : Structured Alpha Strategy Process enhancements
(US vehicle)
Summary of Changes
*In lower-volatility environments (VIX below 22), we will:
– Reduce the quantity of premium-collection short put positions by 30%
– Increase the quantity of our directional bearish put spreads, and construct them differently
*In higher-volatility environments (VIX above 22), the original Structured Alpha configuration remains in place
Impact on Performance and Volatility
60% to 70% expected reduction in drawdown risk at times when volatility rises rapidly (e.g. Aug 2011)
30% to 50% reduction in standard deviation of monthly returns and in downside correlation to equities
Lower restructuring costs, less-frequent intervention and greater percentage of positions held to expiration
In exchange, in low-volatility environments we would expect to meet -- but no longer exceed -- our annual alpha target
Results Since Implementation in January 2012
Annualized net excess return: 5.22%
Annualized standard deviation: 2.66%
Sharpe ratio: 1.88
Positive outperformance in 13 of the 17 months in which equity performance has been negative
Past performance is not a reliable indicator of future results. This example shows the performance of Allianz Structured Alpha 500 (US vehicle : not available for distribution in Europe), which
differs from Allianz Structured Alpha Strategy (Lux. Vehicle). Indeed, Structured Alpha 500 combines the Structured Alpha option overlay with passive equity exposure (the S&P 500 Index, in this
case). Allianz Structured Alpha Strategy will have the EONIA as the beta, not the S&P 500 Index
37
A
Appendix
-Allianz Structured Alpha 250 performance info
-Allianz Structured Alpha Strategy key info
-Team and Strategy information
38
Experienced Structured Alpha Investment Team
Investment Team
Greg Tournant (20/13)
Trevor Taylor (17/7)
Stephen Bond-Nelson (23/16)
Jeff Sheran, CFA (24/16)
Chief Investment Officer U.S.
Structured Products,
Lead Portfolio Manager
Portfolio Manager
Portfolio Manager
Senior Product Specialist
Peter Pilavachi (18/0)
Senior Product Specialist
Megan Silva (8/5)
Valentin Ivanov, CAIA (17/15)
Research Analyst
Scott Powell, CFA (18/7)
Research Analyst
Michael Purcell, CFA (12/9)
Research Analyst
John Donnelly (9/5)
Research Associate
Product Specialist
Mollie McCurry (2/0)
Product Specialist Associate
Trading
Gary McAnly, CFA (23/17)
Terence Duggan (20/17)
Head of Derivatives Trading US
Trader
Risk Management
Christian Franzen (16/9)
Fox Ling, Ph. D., CFA (22/22)
Enterprise Risk Management
IDS GmbH
Global Head of Performance &
Portfolio Risk
Analyst
Independent Portfolio Risk
Oversight
Independent subsidiary of our
parent company, Allianz SE, that
provides VaR related risk analytics
Numbers in parentheses reflect years of industry experience/years of tenure at AllianzGI and affiliates and are updated twice a year, first quarter and third quarter.
Source: Allianz Global Investors as at September 2016.
39
Structured Alpha Investment Team (1/2)
Greg P. Tournant
Managing Director, Portfolio Manager
CIO US Structured Products
Mr. Tournant is a portfolio manager, a managing director and CIO US
Structured Products with Allianz Global Investors, which he joined in 2002. He
is also Head of the Structured Products team, which he created in 2005, and is
the lead portfolio manager for all strategies managed on this platform. Mr.
Tournant has 20 years of investment-industry experience. He was previously
co-CIO at Innovative Options Management and managed an equity-index
option-based hedge fund, option programs on several open-end mutual funds
and an open-end large-cap growth equity mutual fund. Before that, he was a
senior research analyst at Eagle Asset Management, a strategy consultant for
McKinsey & Co. and a sell-side research analyst for Raymond James. Mr.
Tournant has a B.S. from Trinity University and an M.B.A. from the Kellogg
School of Business at Northwestern University.
Jeff Sheran, CFA
Managing Director, Senior Product Specialist
Mr. Sheran is a senior product specialist and a managing director with Allianz
Global Investors, which he joined in 2000. He is responsible for articulating to
investors the option- and volatility-based investment solutions managed by the
Structured Products team, and has been doing so since the team’s inception in
2005. Mr. Sheran was previously the director of the Institutional Business
Development team, the head of the Consultant Relations team and a director of
marketing and product management. He has 24 years of investment-industry
experience. Earlier in his career, Mr. Sheran was a financial journalist. He has
a B.A. from the University of Michigan and an M.B.A. from New York
University, Leonard N. Stern School of Business. Mr. Sheran is a CFA
charterholder and a member of The New York Society of Security Analysts.
Trevor L. Taylor
Managing Director, Portfolio Manager
Mr. Taylor is a portfolio manager and director with Allianz Global Investors, which he
joined in 2008. He has portfolio-management and research responsibilities for the
Structured Products team. Mr. Taylor has 17 years of investment-industry
experience. He was previously co-CIO at Innovative Options Management, where he
managed an equity-index option-based hedge fund and option programs on several
open-end mutual funds. Before that, he was CIO at TLT Atlantic Asset Management
and TLT Capital Corp. Mr. Taylor has
a B.A. from the University of Florida.
Stephen G. Bond-Nelson
Director, Portfolio Manager
Mr. Bond-Nelson is a portfolio manager and director with Allianz Global Investors,
which he joined in 1999. He has portfolio-management and research responsibilities
for the Structured Products team, and has been with the team since its inception in
2005.
Mr. Bond-Nelson has 23 years of investment-industry experience and was
previously a research analyst and associate with Prudential Mutual Funds. He has a
B.S. from Lehigh University and an M.B.A. from Rutgers University.
Valentin L. Ivanov, CAIA
Vice President, Research Analyst
Mr. Ivanov is a research analyst and a vice president with Allianz Global investors,
which he joined in 2000. He has quantitative-research responsibilities for the
Structured Products team and has been with the team since its inception in 2005.
Mr. Ivanov was previously a portfolio administrator and trader in the firm’s managedaccounts group. He has 17 years of investment-industry experience. Mr. Ivanov has
a B.A. in business administration from the University of San Diego and is a CAIA
charterholder.
40
Structured Alpha Investment Team (2/2)
Scott J. Powell, CFA
Vice President, Research Analyst
Peter Pilavachi
Director, Senior Product Specialist
Mr. Pilavachi is a senior product specialist and a director with Allianz Global Investors,
Mr. Powell is a research analyst and a vice president with Allianz Global
which he joined in 2016. He is a member of the Structured Products team and is
Investors, which he joined in 2008. He has research responsibilities for the
responsible for articulating to investors option- and volatility-based investment solutions,
Structured Products team. Mr. Powell has 18 years of investment-industry
with a focus on clients in Europe and Asia. Mr. Pilavachi has 18 years of investmentexperience. He was previously an analyst at Innovative Options Management,
industry experience. He was previously a senior salesperson in the strategic equities
assisting with trading; before that, he was an analyst in the private-banking group
solutions unit for corporate and family offices at UBS and head of derivatives sales at
at Merrill Lynch. Mr. Powell has a B.A. from Florida State University and an M.S.
Barclays Capital; before that, he worked at J.P. Morgan and was an equities derivatives
from Florida International University. He is a CFA charterholder.
trader. Mr. Pilavachi has a B.S. in economics and management, and a master’s degree in
finance from the University of Lausanne, Switzerland.
Michael J. Purcell, CFA
Vice President, Research Analyst
Mr. Purcell is a research analyst and vice president with Allianz Global Investors,
which he joined in 2006. He has research responsibilities for the Structured
Products team and was previously a portfolio specialist. Mr. Purcell has 12 years
of investment-industry experience and has a B.S. from the Charles F. Dolan
School of Business at Fairfield University. He is a CFA charterholder.
John F. Donnelly
Vice President, Research Associate
Mr. Donnelly is a research associate and vice president with Allianz Global
Investors, which he joined in 2010. He has research responsibilities for the
Structured Products team. Mr. Donnelly has nine years of investment-industry
experience and previously worked for Lazard Asset Management. Mr. Donnelly
has a B.A. in economics and a B.S. in business management from the State
University of New York at Stony Brook.
Megan L. Silva
Vice President, Product Specialist
Ms. Silva is a product specialist and vice president with Allianz Global Investors, which she
joined in 2011. As a member of the US Product Specialist Services team, she serves as a
liaison between the firm’s Structured Products team and the US distribution teams,
focusing on the development of marketing materials and communications, and assisting
with business-development and client-service initiatives. Ms. Silva was previously an
institutional business development associate with the firm. She has eight years of
investment-industry experience. Before, Ms. Silva was an investor services associate at
Bridgewater Associates and an analyst at Shumway Capital Partners. She was also a
consultant at IBM Global Business Services. Ms. Silva has a B.S. in applied economics
and management from Cornell University. She holds the FINRA series 7 license.
Mollie McCurry
Product Specialist Associate
Ms. McCurry is a product specialist associate with Allianz Global Investors, which she
joined in 2016. As a member of the US Product Specialist Services team, she serves as a
liaison between the firm’s Structured Products team and the US Distribution teams,
focusing on the development of marketing materials and communications, and assisting
with business-development and client-service initiatives. Ms. McCurry has two years of
investment-industry experience. She was previously an investor relations associate at The
Rock Creek Group. Ms. McCurry has a B.A. in political science from University of Florida.
41
Allianz Structured Alpha 250
Opportunities

Prospect of positive return through exploiting
inefficiencies on equity option markets

Low equity market correlation through combination of
long and short positions

Prospect of money market-related returns on liquid
assets
Source: Allianz Global Investors; data as at 30.04.2017
Risks

Success of option strategy not guaranteed,
significant losses possible. The volatility of the price
of fund units may be sharply increased.

Underperformance of money market-related
investments possible
42
Hypothetical and Back-testing
Back-testings and hypothetical or simulated performance data have many inherent limitations, only some of which are described as follows:
(i)
It is designed with the benefit of hindsight, based on historical data, and does not reflect the impact that certain economic and market factors might have had on the decision-making process, if a
client’s portfolio had actually been managed. No back-testings, hypothetical or simulated performance can completely account for the impact of financial risk in actual performance.
(ii)
It does not reflect actual transactions and cannot accurately account for the ability to withstand losses.
(iii)
The information is based, in part, on hypothetical assumptions made for modelling purposes that may not be realised in the actual management of portfolios.
No representation or warranty is made as to the reasonableness of the assumptions made or that all assumptions used in achieving the returns have been stated or fully considered. Assumption changes
may have a material impact on the model returns presented. The back-testing of performance differs from actual portfolio performance because the investment strategy may be adjusted at any time, for any
reason.
Investors should not assume that they will experience a performance similar to the back-testings, hypothetical or simulated performance shown. Material differences between back-testings, hypothetical or
simulated performance results and actual results subsequently achieved by any investment strategy are possible.
Source: Allianz Global Investors; data as at 30.04.2017
43
Disclaimer
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.
Allianz Structured Alpha 250 is a sub-fund of Allianz Global Investors Fund SICAV, an open-ended investment company with variable share capital
organised under the laws of Luxembourg. The value of the shares which belong to the Share Classes of the Sub-Fund that are denominated in the base
currency may be subject to a strongly increased volatility. The volatility of other Share Classes may be different. 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 investor’s local
currency. This is for information only and not to be construed as a solicitation or an invitation to make an offer, to conclude a contract, or to buy or sell any
securities. The products or securities described herein may not be available for sale in all jurisdictions or to certain categories of investors. This is for
distribution only as permitted by applicable law and in particular not available to residents and/or nationals of the USA. The investment opportunities
described herein do not take into account the specific investment objectives, financial situation, knowledge, experience or specific needs of any particular
person and are not guaranteed. 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.
For a free copy of the sales prospectus, incorporation documents, daily fund prices, key investor information, latest annual and semi-annual financial
reports, contact the management company Allianz Global Investors GmbH in the fund's country of domicile, Luxembourg, or the issuer at the address
indicated below or www.allianzgi-regulatory.eu. Please read these documents, which are solely binding, carefully before investing.
This is a marketing communication issued by Allianz Global Investors GmbH, www.allianzgi.com, an investment company with limited liability, incorporated
in Germany, with its registered office at Bockenheimer Landstrasse 42-44, 60323 Frankfurt/M, registered with the local court Frankfurt/M under HRB 9340,
authorised by Bundesanstalt für Finanzdienstleistungsaufsicht (www.bafin.de). The duplication, publication, or transmission of the contents, irrespective of
the form, is not permitted.
Source: Allianz Global Investors; data as at 30.04.2017
44