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Analysis Period: October 2014 to September 2015Risk and Performance Report
Benchmark: Wits Conservative Benchmark
UWRF - Wits Conservative Option
M. Ngqoza | +27 21 673 6999 | mngqoza@riscura.comMore Information?
www.riscura.com
RC
Contents
1. Summary 3Market value overview 3Exposure overview 3Performance overview 3Turnover summary 3Asset allocation by country 4Regional allocation 4Asset class allocation 4Compounded fund performance 5Relative performance vs. tracking error 5
2. Risk analysis 6Total portfolio risk 6Active portfolio risk 6Historical risk 6MSCI BarraOne factor exposure 7Liquidity analysis 7Liquidity over time 7Duration, convexity and dispersion statistics 8Duration over time 8Yield curve 8
3. Exposure analysis 9Asset allocation 9Asset class allocation over time 9
3.1 South Africa exposure analysis 10Compounded performance 15Performance vs value at risk 15
4 Performance analysis 15Cumulative performance attribution over time 16Discrete performance attribution 16
4.1 Equity contribution to return analysis 174.2 Fixed Income contribution to return analysis 18
The accuracy of the report is dependent upon the integrity of the data received. Although RisCura checks data for reasonability, RisCura accepts no liability for the errors in the report as a result of such inaccuracies. Please note that past performance is not a guarantee of future performance.
UWRF - Wits Conservative Option September 2015 - Page 02
Performance overview
Fund (%) Benchmark (%) Active (%)
Current Month -0.56 -0.41 -0.16
3-Month -0.05 -0.07 0.02
6-Month -0.50 -0.94 0.44
12-Month 7.34 7.44 -0.09
Year-to-date 4.06 3.65 0.39
Monthly Average 0.60 0.61 -0.01
Average monthly return over the last 12 months
Inception Date: 01 Aug 2007 (97 months)
Period Purchases (R) Sales (R) Turnover # Purchases # Sales
1 5 076 388.51 4 566 205.44 0.06 156.00 148.00
3 27 126 992.66 29 603 533.05 0.34 655.00 371.00
6 38 322 872.13 34 318 991.88 0.44 1524.00 991.00
12 47 418 806.52 44 381 030.78 0.55 2895.00 2071.00
Turnover summary
Cash settlements excluded.
Exposure overview
Effective (R) Physical (R)
Fund value 83 120 796 83 120 796
Long 78 481 230 78 094 267
Short 0 0
Cash 4 639 566 5 026 529
1. Summary
Market value overview
Current month (R) 83 120 796
Previous month (R) 88 349 210
Previous quarter end (R) 116 477 515
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UWRF - Wits Conservative Option September 2015 - Page 03
Asset class allocation
Regional allocation
Asset allocation by country
Country Asset class Weight (%) Weight in country (%) Market value (R)International Foreign Equity 16.95 100.00 14 092 889.50
International total 16.95 100.00 14 092 889.50South Africa Bond 13.66 16.45 11 352 906.87
Bond Ilb 30.84 37.14 25 637 524.55Cash 5.58 6.72 4 639 565.85Equity 27.17 32.71 22 580 449.40Property 5.80 6.98 4 817 459.77South Africa total 83.05 100.00 69 027 906.45
Total 100.00 83 120 795.95
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UWRF - Wits Conservative Option September 2015 - Page 04
Relative performance vs. tracking error( 12 months to 30 September 2015 )
Note: Fund TE is forecasted
Compounded fund performance
( 12 months to 30 September 2015 )
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UWRF - Wits Conservative Option September 2015 - Page 05
Active portfolio risk
Fund
Tracking error (%) 0.95
Tracking error at risk (%) -1.56
Residual (%) 0.26
Systematic (%) 0.69
Volatility (%) Sharpe Ratio Information Ratio
Fund 5.67 0.19 -0.10
Benchmark 6.24 N/A N/A
Active 1.19 N/A N/A
Historical risk
Historical numbers calculated on 12 months' data
2. Risk analysis
Total portfolio risk
Wits Conservative Benchmark index used as a comparative measure in above table. Figures in the above table are predicted, calculated using MSCI BarraOne. Value at risk calculated at a 95% confidence interval.
Fund Benchmark
Volatility (%) 6.52 6.74
Value at risk (VaR) (%) 0.68 0.70
Value at risk (VaR) (R) 561 187.03 580 616.73
Modified VaR (MVaR) (%) 0.68 0.71
Estimated tail loss (ETL) (%) 0.85 0.88
Modified ETL (METL) (%) 0.87 0.97
Skewness -0.04 -0.20
Excess kurtosis 0.43 1.10
Correlation 0.99 1.00
Beta 0.96 1.00
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UWRF - Wits Conservative Option September 2015 - Page 06
Fund - physical Fund - effective Benchmark
Days Trade 0.01 0.01 0.01
Assets Tradable > 15 days 0 0 0
Assets Tradable > 5 days 0 0 0
Liquidity analysis
Liquidity over time( 12 months to 30 September 2015 )
Note: Analysis on listed equity instruments only Analysis on physical exposure
MSCI BarraOne factor exposure
Comparator Correlation Beta
All Bond Index 0.38 0.34
FTSE/JSE ALSI 40 0.80 0.34
JSE All share 0.81 0.37
Rand/Euro -0.17 -0.09
Rand/US Dollar -0.27 -0.16
Growth -0.08 -0.19
Value -0.01 -0.02
Gold Shift 0.05 0.02
Oil Shift 0.20 0.04
ZA Butterfly -0.14 -2.28
ZA Shift 0.37 2.26
ZA Twist 0.07 1.25
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UWRF - Wits Conservative Option September 2015 - Page 07
Yield curve
Duration over time( 12 months to 30 September 2015 )
Fund - effective Fund - physical Benchmark
Modified duration 12.99 12.88 12.73
Macaulay duration 13.20 13.09 12.93
Convexity 258.43 256.41 247.08
Dispersion 43.26 42.60 38.48
Duration, convexity and dispersion statistics
Note: Analysis done on listed fixed income and cash instruments
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UWRF - Wits Conservative Option September 2015 - Page 08
Asset class allocation over time
( 12 months to 30 September 2015 )
Fund - effective (%) Fund - physical (%) Benchmark (%)
Bond 13.66 13.30 15.00
Bond Ilb 30.84 30.84 30.00
Cash 5.58 6.05 5.00
Equity 27.17 27.07 27.71
Foreign Equity 16.95 16.95 15.00
Property 5.80 5.79 7.29
Asset allocation
3. Exposure analysis
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UWRF - Wits Conservative Option September 2015 - Page 09
Economic group exposure over time
( 12 months to 30 September 2015 )
Economic group bets
3.1 South Africa exposure analysis
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UWRF - Wits Conservative Option September 2015 - Page 10
Share name Fund - effective (%) Fund - physical (%) Company ownership (%)
FirstRand Bank Limited 1.90 1.89 0.00
Super Group Limited 0.47 0.47 0.00
Deutsche Bank AG (London) 0.04 0.04 0.00
Comair Limited 0.14 0.14 0.00
Randgold Resources Limited 0.01 0.01 0.00
Adcorp Holdings Limited 0.25 0.25 0.00
SA Corporate Real Estate Fund 0.63 0.63 0.00
Sun International Limited 0.57 0.57 0.00
Northam Platinum Limited 0.79 0.80 0.00
Capital Property Fund Limited 1.58 1.58 0.00
Top 10 companies owned
Note: Analysis done on listed equity instruments only
Top 10 equity holding
Share name Fund - effective (%) Fund - physical (%) Benchmark (%)
British American Tobacco plc 8.26 8.27 3.87
Naspers Limited 6.18 6.15 11.79
Sasol Limited 5.69 5.69 3.58
Standard Bank Group Limited 4.76 4.76 2.72
Old Mutual plc 4.40 4.40 1.86
SABMiller plc 4.08 4.06 3.69
Redefine Properties Limited 2.75 2.76 3.01
Growthpoint Properties Limited 2.60 2.60 3.98
Remgro Limited 2.59 2.59 2.03
Reinet Investments S.C.A. 2.54 2.54 0.72
Total 43.85 43.84 37.26
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UWRF - Wits Conservative Option September 2015 - Page 11
Top 20 shares liquidity
Top 5 positive and negative share bets
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UWRF - Wits Conservative Option September 2015 - Page 12
Issuer exposure over time
( 12 months to 30 September 2015 )
Issuer exposure
Fund - effective (%) Fund - physical (%) Benchmark (%)
% Government 85.41 84.51 88.68
% Parastatal 1.55 1.55 2.33
% Corporate (Financial sector) 0.65 0.65 0.00
% Corporate (Resource sector) 0.00 0.00 0.00
% Corporate (Industrial sector) 0.00 0.00 0.00
% Municipal 0.00 0.00 0.00
% Other 1.24 1.23 0.00
% Cash 11.14 12.05 8.99
No. of instruments 122 121 22
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UWRF - Wits Conservative Option September 2015 - Page 13
Maturity band exposure over time
( 12 months to 30 September 2015 )
Maturity band exposure
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UWRF - Wits Conservative Option September 2015 - Page 14
Performance vs value at risk
( 12 months to 30 September 2015 )
Compounded performance( 12 months to 30 September 2015 )
4. Performance analysis
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UWRF - Wits Conservative Option September 2015 - Page 15
1-month (%) 3-month (%) 6-month (%) 12-month (%)
Fund -0.56 -0.05 -0.50 7.34
Benchmark -0.41 -0.07 -0.94 7.44
Attributed outperformance -0.16 0.03 0.44 -0.08
Regional allocation 0.02 0.04 0.13 0.22
Asset class allocation 0.01 0.69 0.73 0.80
Manager allocation -0.05 -0.14 -0.25 -0.18
Manager regional allocation 0.00 0.00 0.00 0.00
Manager asset class allocation -0.02 -0.33 -0.40 -0.45
Manager industry allocation 0.03 0.11 0.40 1.36
Manager stock selection -0.14 0.17 0.37 -1.28
Cumulative performance attribution
Cumulative performance attribution over time( 12 months to 30 September 2015 )
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UWRF - Wits Conservative Option September 2015 - Page 16
Contribution to relative return vs. average instrument bets
( 12 months to 30 September 2015)
Contribution to relative return vs. average economic group bets
( 12 months to 30 September 2015)
4.1 Equity contribution to return analysis
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UWRF - Wits Conservative Option September 2015 - Page 17
Contribution to return vs. average instrument weights
( 12 months to 30 September 2015)
Contribution to return vs. average economic group weights
( 12 months to 30 September 2015)
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UWRF - Wits Conservative Option September 2015 - Page 18
Contribution to relative return vs. average instrument bets
( 12 months to 30 September 2015)
Contribution to relative return vs. average maturity band bets
( 12 months to 30 September 2015)
4.2 Fixed Income contribution to return analysis
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UWRF - Wits Conservative Option September 2015 - Page 19
Contribution to return vs. average instrument weights
( 12 months to 30 September 2015)
Contribution to return vs. average maturity band weights
( 12 months to 30 September 2015)
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UWRF - Wits Conservative Option September 2015 - Page 20
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