0. Aviva Morley Absolute TAA Fund
Paul Moody
Head of Investment Development
Milan, 8 November 2007

1. This document is for professional advisers and market counterparty or intermediate customers only. The content is not approved for use with private/retail investors or pension scheme members.

2. Agenda Introduction to Morley Introduction to GTAA
Investment Philosophy and Process
Risk Control
Fund Performance
Summary

3. Introduction to Morley

4. Part of the worldwide Aviva Group
Aviva UK
UK Fund Management
Aviva International
Morley Fund Management Group Ltd
Aviva Fund Services SA
(Luxembourg)
Portfolio Partners Ltd
(Melbourne)
Hibernian Investment Management Ltd
(Dublin)
Morley Fund Management Limited
(London)
Morley Fund Management
International Ltd
(Boston)
CUIM Polska SA
(Warsaw)
World’s fifth-largest insurance group*
Largest in the UK
Standard and Poors A+ stable rating**
59,000 employees
40 million customers worldwide
*Based on gross worldwide premiums for the year ended 31 December 2006
**Source: Standard and Poors. “An insurer rated ‘A’ has STRONG financial security characteristics, but is somewhat more likely to be affected by adverse business conditions than are insurers with higher ratings.”

5. Critical mass in all asset classes
Assets under management of billion across the full spectrum of asset classes
Experience stretches across wide range of client types
Largest UK based active manager
Employs over 700 people, including 232 investment professionals
Active asset allocation overlay on €120bn
Aggregate assets managed €4bn
I have removed the client split: it does not help and we can
always talk about AVIVA group if we want to

6. GTAA Investment team 1st Blue: White bold font
Chief Investment Officer Adrian Jarvis (Interim)
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Head of Strategy and Multi Asset Funds
Steve Cleal
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Morley bold blue font
Senior Economist
John Ip
(International)
Asset Allocation Specialist
Hassan Johaadien
Senior Economist
Stewart Robertson
(UK & Europe)
Strategic Asset Allocation Specialist
Mirko Cardinale
Fund manager
Jonathan Abrahams
Portfolio Analyst
Nichola Guinn
Asset Allocation Specialist
Sergio Ferreira
TAA Modelling & Performance Analyst
Niral Shukla
Quant Analyst
Jing Yiang
Quant Analyst
tba
Fund Manager
Carmen Magness
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7. What is Tactical Asset Allocation?
Exploits inefficiencies in asset prices resulting from:
Investor sentiment, such as excessive optimism or pessimism
Structural anomalies such as legislation, tax or market habit
Non profit-maximising participants
Equity Market Selection
Asset Class Selection
Bond Market Selection
Currency Selection
A diversified source of Alpha
A diversified source of Alpha

8. Morley’s strength in asset allocation
Experience – Asset allocation team and process in place since Responsible for €120bn of assets
Track record* - Consistent out performance of the benchmark over the last eight years, with no down years. Information ratio of 1.03 (refers to MPPL Balanced Managed Fund overlay Q498 to Q207).
Strong investment process – Combines rigorous fundamental analysis with skills of experienced fund management team and independent risk management
Consistency – Scenario based analysis combined with multiple diversified, relatively small positions for consistent performance in all economic environments
Source Morley
* Decemeber December 2006

9. Process

10. Investment process – overview
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3rd Blue:
Morley bold blue font
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0.75 pt outline
We aim to deliver consistent excess returns
Strapline, Height: 1.6cm Width: 23.16cm

11. Stage 1: Economic scenario analysis
Economists and strategists meet weekly to discuss output of economic analysis to derive scenarios of possible economic outcomes
Considering several possible scenarios provides greater consistency of returns irrespective of economic environment
Synthesis of regional economic outlooks
Capture uncertainties around the central case
Scenarios chosen based on probability and significance for asset prices
Quantified for impact on interest rates, economic growth, corporate profits etc.
Central View
Economic Rebound
55%
Sub-Trend Growth
20%
Recession
25%
Source: Morley Fund Management As at 24th September 2007
Output: Scenarios with projections for growth, inflation, rates, profits

12. Stage 2: Forecasting returns
Economic forecasts are used to generate projections for assets under each scenario
Bond forecasts are derived from yield movements and duration
Equity forecasts are driven by
Current dividend yield
Earnings growth forecasts
Predicted equity reratings
Currency forecasts are derived using a scorecard approach. Variables include:-
Value measures (PPP)
Cyclical indicators
Fiscal and monetary policy
Momentum and market positioning
Output: A set of asset return forecasts for each scenario

13. Stage 3: Optimal portfolio analysis
The asset return forecasts generated for the central scenario are input into the optimiser to generate the ‘best’ portfolio i.e. that combination of assets that maximises the expected return for a given level of risk
The optimiser incorporates a boot strap approach.
Rather than use a single time period for estimating the covariance matrix, history is divided into numerous discrete periods. This generates solutions that are robust to changing regimes
This process is repeated for each scenario under consideration, giving a separate optimal portfolio for each scenario
A review of the returns that would be generated by each optimal portfolio under each scenario is produced. This is in the form of a matrix of possible outcomes.
Output: An optimal portfolio for each scenario

14. Stage 4: Portfolio selection
Morley’s Asset Allocation Committee is a small team responsible for selecting the template for all Morley’s TAA clients
The committee draw on their experience to consider, challenge and develop the internal research, in particular the scenarios and candidate portfolios
In deciding the template, the AAC seek:
To generate strong returns under the central scenario
To deliver respectable returns under alternative scenarios
A broad balance of return over time from beta, markets and currency
Morley’s Asset Allocation Committee
Chief Investment Officer
(interim)
Adrian Jarvis
18 years experience
Asset Allocation Specialist
Hassan Johaadien
12 years experience
Head of Strategy and Multi Asset Funds
Steve Cleal
19 years experience
Output: A robust set of asset positions

15. Stage 5: Implementation
The success of the TAA process is critically dependent on the successful implementation of the model portfolio across client mandates
A team of experienced portfolio managers monitor fund positions and initiate derivatives trades where appropriate
Trade execution is undertaken by a separate, experienced team with a long history of dealing significant volumes in global derivatives market
In 2006, €135bn of futures were executed
Morley’s market presence gives it access to timely market intelligence on trading conditions
Regular contact with the largest investment banks ensures trades are executed in the most cost effective manner
Daily risk reports enhance the understanding of the likely behaviour of the portfolio under a variety of different market outcomes
Output: A fund designed to generate the alpha target
We’ve achieved top quartile performance on a single country, regional and global basis as well as across equities and bonds.
This demonstrates the value of a global operation with expertise located in local centres of excellence.

16. Stage 5: Implementation October 2007
Implementation for ATAA Fund Libor +20% p.a. GTAA target
Relative risk-adjusted size of active positions

17. Risk Control & Performance

18. Risk management Independent Risk Team measures:
Value at Risk (VAR) daily using internal proprietary model
Volatility calculated using unweighted covariance matrix approach
Parallel analyses using two sets of historical return data
Scenario analysis to analyse impact of extreme events (Asian crisis, Black Monday etc.)
The contribution to risk from each individual asset is quantified based on its interaction (covariance) with other portfolio assets
Daily monitoring and formal monthly meeting with fund managers
Monthly VAR, Aviva Morley Absolute TAA Fund
VaR (%)
Confidence Interval
VaR Monthly
(%)
99.50%
4.03
99.00%
3.64
98.50%
3.39
98.00%
3.20
97.50%
3.05
95.00%
2.55
84.00%
1.52
Source: Morley, as at 28 September 07

19. Performance update – Absolute TAA fund performance since launch
Source: Lipper/Morley, as at 01-Oct-07
25.76
Since launch (Jan 06)
Performance %
1.09
Sharpe Ratio
11.43
Annualised Volatility (%)

20. Biographies

21. Adrian Jarvis Adrian Jarvis Chief Investment Officer (Interim)
Joined Investment Industry in 1990
Main Responsibilities
As CIO, Adrian has overall responsibility for investment philosophy and process for equities and fixed income. Adrian chairs the Asset Allocation Committee, responsible for establishing the asset mix of Morley’s balanced fund mandates and is ultimately responsible for monitoring performance and risk control measures across portfolios.
Experience & Qualifications
Adrian joined the firm (as Norwich Union Investment Management Ltd (NUIM)) in 2000 as Senior Quantitative Analyst with responsibility for developing NUIM’s quantitative research capabilities. He has held the position of Head of Strategy, responsible investment strategy, quantitative research and quant funds leading the team of economists, strategy and index fund managers and derivatives specialists since February 2000.
Prior to joining NUIM Adrian spent three years at NPI Asset Management, during which time he was promoted from Director of Strategy & Quantitative Analysis to Head of Global Asset Allocation. Previously he gained extensive investment experience at CIN Management as Assistant Director of Global Asset Allocation and Shell International as Senior Quantitative Analyst.
Adrian holds a BSc and MSc in Economics from the London School of Economics, and studied Investment Management at the London Business School.

22. Steve Cleal Steve Cleal Head of Strategy and Multi Asset Funds
Joined Investment Industry in 1987
Main Responsibilities
As a member of Morley’s Asset Allocation Committee, Steve helps formulate the House Strategy for investment markets. He is also responsible for ensuring that the asset distribution of multi asset funds is in line with House Strategy.
Experience & Qualifications
Steve joined the firm (as Norwich Union Investment Management) in Prior to being appointed Head of Balanced Funds in July 2000, Steve undertook a variety of roles including managing a US strategy fund and generating the firm's view on the UK and North American economies. He has worked closely with a number of internal and external clients, providing guidance on investment and strategic issues. Steve holds a BA (Hons) in Economics and Sociology from Keele University and has completed the UKSIP Investment Management Certificate.

23. Hassan Johaadien Hassan Johaadien Asset Allocation Specialist
Joined Investment Industry in 1995
Main Responsibilities
To develop and apply Morley’s process for Strategic Asset Allocation to create better benchmarks for client funds and identify special opportunities. Also to develop Morley’s TAA models and use them to propose tactical trades for Morley’s Asset Allocation Committee.
Experience & Qualifications
Hassan joined Morley in July Previously he worked for Shell Pensions as Head of Research. Hassan holds a BSc in Statistics, Computing & Economics from University College London. He also holds the UKSIP Investment Management Certificate.

24. Paul Moody
Paul Moody
Head of Investment Development – Specialist Products
Joined Investment Industry in 1990
Main Responsibilities
Working with Morley’s Specialist Fund team on product development and as ‘product specialist’ for asset allocation, structured products, convertible bonds and quantitative equity funds.
Experience & Qualifications
Paul joined Morley in 2000.
Paul previously developed Morley’s SRI 'Sustainable Future' range of funds in the UK and Europe.
Prior to that, Paul worked for NPI, specialising in the retail market. Following the purchase of NPI by Henderson Investors, he developed SRI across the AMP distribution outlets.
Paul holds a BA (Hons) in Economics, DipPFS (Personal Finance Society Diploma) and the UKSIP Investment Management Certificate.

25. Important Information (1)
This document is for Investment Professionals only. It is not for Private/Retail investors.
Except where stated as otherwise, the source of all information is Morley as at 31 October 2007.
Any opinions expressed are based on the internal forecasts of Morley and they should not be relied upon as indicating any guarantee of return from an investment managed by Morley. No part of this document is intended to constitute advice or recommendations of any nature.
Performance figures sourced from Lipper Hindsight and illustrated on a bid to bid, gross income reinvested basis for the I share class in the currency shown. Other information sourced from Morley. Past performance is not a guide to the future. The value of an investment in the fund can go down as well as up and can fluctuate in response to changes in exchange rates. A re-structure of the funds took place on 20 November 2006 that changed some of the fund names, objectives and charges of the Aviva Morley SICAV. Please read the current Prospectus for full details of the current fund range before investing.
Past performance is not a guide to the future.
The distribution and offering of shares may be restricted by law in certain jurisdictions. This document should not be taken as a recommendation or offer by anyone in any jurisdiction in which such an offer is not authorised or to any person to whom it is unlawful to make such an offer or solicitation.
For Germany: Copies of the Full and Simplified Prospectus together with the Report and Accounts of the SICAV are available free of charge from Morley Fund Management Limited, Zweigniederlassung Deutschland - An der Welle 4, Frankfurt am Main, Frankfurt am Main, Deutschland or from Aviva Fund Services, 34 avenue de la Liberté, 4th floor, L Luxembourg. R.C.S. Luxembourg B25708.
For Austria: The "Raiffeisen Zentralbank Österreich AG", Am Stadtpark 9, 1030 Vienna, has been appointed by the Company as the paying agent within the meaning of § 34 InvFG. Accordingly, the redemption of shares can be made via the "Raiffeisen Zentralbank Österreich AG", Am Stadtpark 9, 1030 Vienna. The prospectus, the articles of association, the last annual report and the semi-annual report, once published, are available at the office of the "Raiffeisen Zentralbank Österreich AG", Am Stadtpark 9, 1030 Vienna or from Aviva Fund Services, 34 avenue de la Liberté, 4th floor, L Luxembourg. R.C.S. Luxembourg B25708.

26. Important Information (2)
For Spain: Copies of the Full and Simplified Prospectus together with the Report and Accounts of the SICAV which are approved by and registered with CSSF in Luxembourg and CNMV in Spain are available free of charge from Morley Fund Management Limited, Sucursal en España, Calle Pinar 5, Madrid, España or from Aviva Fund Services, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.
For Switzerland: Fortis Foreign Fund Services AG, Rennweg 57, 8023 Zurich was authorised by the Federal Banking Commission as Swiss representative of the Fund and acts also as paying agent. Copies of the Full and Simplified Prospectus together with the Report and Accounts and articles of the SICAV are available free of charge from the head office of the Swiss representative, Morley Fund Management Limited, Zweigniederlassung Deutschland - An der Welle 4,60322 Frankfurt am Main, Frankfurt am Main, Deutschland or from Aviva Fund Services, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.
For Italy: Copies of the Full and Simplified Prospectus together with the Report and Accounts of the SICAV are available free of charge from Morley Fund Management Limited, Sede Secondaria di Milano, Corso Matteotti, 10, MI, Italia or from Aviva Fund Services, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.
For Luxembourg: Copies of the Full and Simplified Prospectus together with the Report and Accounts of the SICAV are available free of charge from Aviva Fund Services, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.
For UK: Copies of the Full and Simplified Prospectus together with the Report and Accounts of the SICAV are available free of charge from Morley Fund Management Limited, No. 1 Poultry, London EC2R 8EJ or from Aviva Fund Services, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.
Morley is a business name of Morley Fund Management Limited, registered in England No Registered Office: No. 1 Poultry, London EC2R 8EJ. Authorised and regulated in the UK by the Financial Services Authority and a member of the Investment Management Association. Morley is also a business name of Morley Fund Services Limited and Morley Pooled Pensions Limited. All are Aviva companies.
Contact us at Morley Fund Management Limited, No. 1 Poultry, London EC2R 8EJ
MFM 07/942