uwrf - wits conservative optionuwrf.co.za/wp-content/uploads/2013/09/composite... · 9/30/2015 ·...

Analysis Period: October 2014 to September 2015Risk and Performance Report

Benchmark: Wits Conservative Benchmark

UWRF - Wits Conservative Option

M. Ngqoza | +27 21 673 6999 | [email protected] Information?

www.riscura.com

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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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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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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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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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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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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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Asset class allocation over time


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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Economic group exposure over time


Economic group bets

3.1 South Africa exposure analysis

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UWRF - Wits Conservative Option September 2015 -

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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Top 20 shares liquidity

Top 5 positive and negative share bets

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Issuer exposure over time


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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Maturity band exposure over time


Maturity band exposure

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Performance vs value at risk


Compounded performance( 12 months to 30 September 2015 )

4. Performance analysis

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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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Contribution to relative return vs. average instrument bets

( 12 months to 30 September 2015)

Contribution to relative return vs. average economic group bets


4.1 Equity contribution to return analysis

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Contribution to return vs. average instrument weights


Contribution to return vs. average economic group weights


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Contribution to relative return vs. average instrument bets


Contribution to relative return vs. average maturity band bets


4.2 Fixed Income contribution to return analysis

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Contribution to return vs. average instrument weights


Contribution to return vs. average maturity band weights


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uwrf - wits conservative optionuwrf.co.za/wp-content/uploads/2013/09/composite... · 9/30/2015 ·...

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