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Roger Gray

Roger Gray. Chief Investment Officer. Roger Gray: Background. Oxford MA (PPE), Harvard AM (Economics) Rothschild Fixed income and currency CIO UBS CEO/CIO (Europe) Global Head of Asset Allocation/Currency Hermes CIO. FTSE All-Share:1998-current. FTSE All-Share: Jan 80-Nov 09.

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Roger Gray

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  1. Roger Gray Chief Investment Officer

  2. Roger Gray: Background • Oxford MA (PPE), Harvard AM (Economics) • Rothschild • Fixed income and currency • CIO • UBS • CEO/CIO (Europe) • Global Head of Asset Allocation/Currency • Hermes • CIO

  3. FTSE All-Share:1998-current

  4. FTSE All-Share: Jan 80-Nov 09

  5. World Equities: Jan 80-Nov 09

  6. US Real Equity Returns

  7. 30 Year Gilt & Index-linked Yields

  8. Strategic Asset Mix At 30 Sep 2009: TOTAL FUND VALUE £26,684m

  9. Regional Equity Mix

  10. Performance - 5 years to Q3 2009

  11. Performance relative to benchmark

  12. Main performance detractors in 2008 • Alternatives versus long-term target at RPI + 5% • unrealistic benchmark for 2008, new programme, short-term • Tactical Asset Allocation • overweight stocks in Q4 (slow rebalancing) • Capital International • overweight Financials (especially US) • Pacific ex Japan • underweight low-growth defensives (Telecoms, Utilities)

  13. Performance relative to benchmark * Valuation data lags

  14. Actions • Graham Burnett heads Property since 2006 • Portfolio restructured; investment programme underway • Alternatives team build-up under Mike Powell • Hedge fund selection team now in place • Risk and Quantitative capability under Cindy Chan • Matt Clark (ex Americas team) heads Japanese equities since Q2 2009 • Capital International • Personnel and organisation changes • Transparency – On ‘Watch’

  15. Organisation update • 2009 performance • Good absolute and overall close to benchmark • Professional Pensions award 2009 • Best use of SRI • Operational/systems advances • ‘POMS’ implementation under Andrew Little and team • Strong, collegial, motivated team

  16. Plans • Strategy function • Tactical Asset Allocation • Rebalancing • Emerging Markets • We’re going places ....

  17. LIO: 60 Threadneedle Street

  18. Roger Gray Chief Investment Officer

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