March 2019
March 2019
3,506.5
The table below shows the annualised performance of the USAF Growth Portfolio, net of manager fees, over various measured periods ended 31 March 2019, compared to the median and top quartile of the Alexander Forbes Global Manager Watch Best Investment View (BIV) survey.
USAF Growth Portfolio Aggregate Return | Global Manager Watch BIV median | Global Manager Watch BIV top quartile | |
3 months | 7.1% | 6.6% | 7.0% |
6 months | 1.8% | 0.5% | 1.4% |
1 year | 8.4% | 6.6% | 7.8% |
3 years | 7.4% | 5.3% | 5.7% |
5 years | 8.1% | 7.2% | 7.8% |
7 years | 12.1% | 10.2% | 11.3% |
10 years | 13.4% | 12.5% | 13.3% |
USAF Growth Portfolio Aggregate Return | Global Manager Watch BIV median | Global Manager Watch BIV top quartile | |
3 months | 7.1% | 6.6% | 7.0% |
6 months | 1.8% | 0.5% | 1.4% |
1 year | 8.4% | 6.6% | 7.8% |
3 years | 7.4% | 5.3% | 5.7% |
5 years | 8.1% | 7.2% | 7.8% |
7 years | 12.1% | 10.2% | 11.3% |
10 years | 13.4% | 12.5% | 13.3% |
Over the short term i.e. 6 month periods, the performance of the USAF Growth Portfolio should be better than the median performance of the global asset managers included in the Alexander Forbes Best Investment View survey.
Over the long term i.e. 3 year rolling periods, the performance of the USAF Growth Portfolio should be better than the top quartile of the global asset managers included in the Alexander Forbes Best Investment View survey.
The chart below shows the monthly performance of the USAF Growth Portfolio (net of fees) relative to the Strategic Asset Allocation (SAA). The SAA is the assumed long term asset allocation for fully discretionary balanced portfolios. It also shows the cumulative net performance of the Growth Portfolio relative to the SAA and the CPI + 5.0% p.a. inflation benchmark on the right-hand axis.
For the purposes of this report the SAA has been set as follows:SA equity: 42%, SA nominal bonds: 13%, SA inflation linked bonds: 5%, SA cash: 5%, SA listed property: 5%, Global equity: 23%, Global bonds: 4%, Global property: 3%
12.0% 400.0
10.0% 350.0
8.0% 300.0
6.0% 250.0
4.0% 200.0
2.0% 150.0
0.0% 100.0
-2.0% 50.0
Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18
Jan-19
Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18
Jan-19
-4.0% -
USAF Growth Portfolio SAA CPI +5% Cumulative Return USAF Growth Portfolio Cumulative Return SAA Cumulative Return
The table below sets out some key risk statistics for the USAF Growth Portfolio relative to the SAA for the period since inception (April 2009) to 31 March 2019.
Portfolio | Return achieved | Active return1 | Standard deviation2 | Downside risk3 | Tracking error4 | Sortino ratio5 | Information ratio6 | Beta7 | Drawdown8 | Active Drawdown9 |
USAF Growth Portfolio (10 years) | 13.4% | 0.1% | 7.4% | 5.4% | 3.3% | 2.5 | 0.02 | 91.8% | -9.4% | -11.5% |
SAA (10 years) | 13.4% | 7.3% | 5.5% | 2.4 | -7.3% |
Active return is the difference between the Actual Return achieved and the benchmark return over the relevant period.
Variation of return (standard deviation) is a measure of how widely the return is dispersed – the lower this measure, the less risk. This measure has been annualised.
Downside risk measures the dispersion of return below a minimum return (zero) – the lower this measure, the less risk of realising a negative return.
The “tracking error” measures how much the return of the actual portfolio differs from the benchmark.
Sortino ratio measures the excess return above a minimum accepted return (taken to be zero) divided by the downside risk – it therefore measures the extra return generated per unit of risk of realising a return below zero.
The “information ratio” measures the extent to which the actual portfolio has outperformed the benchmark divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of relative risk. An information ratio net of fees of 0.25 and higher is regarded as good.
Beta is a measure of the volatility, or systematic risk, of a portfolio relative to the benchmark.
The drawdown is the peak-to-trough decline of returns over a specific period.
Active drawdown is the peak-to-trough decline of the active returns (relative to the benchmark) over a specific period.
The chart below compares the risk (as measured by the standard deviation) and return characteristics of the USAF Growth Portfolio and benchmarks over the five years ended 31 March 2019.
8.2%
8.0%
5 YEAR RETURN P.A.
5 YEAR RETURN P.A.
7.8%
7.6%
7.4%
7.2%
Growth Portfolio Aggregate
Growth Po | rtfolio SAA, 6.5%, | Return , | 7.6%, 8.1% | |||
8.1% | ||||||
Global Manag | er Watch BIV top | |||||
Glo | bal Manager Watch B median, 7.1%, 7.2% | IV | ||||
Growth Po | rtfolio SAA, 6.5%, | Return , | 7.6%, 8.1% | |||
8.1% | ||||||
Global Manag | er Watch BIV top | |||||
Glo | bal Manager Watch B median, 7.1%, 7.2% | IV | ||||
quartile, 7.4%, 7.8%
7.0%
6.4% 6.6% 6.8% 7.0% 7.2% 7.4% 7.6% 7.8%
5 YEAR STANDARD DEVIATION P.A.
The chart below shows the manager allocation of the USAF Growth Portfolio as at 31 March 2019.
The chart below shows the look-through allocation of the USAF Growth Portfolio’s global balanced mandate.
WTW
Diversified
Global Balanced
Allan Gray Domestic 23.6%
70.0%
30.9%
30.9%
60.4% 59.8%
60.0%
50.0%
40.0%
Coronation Domestic 22.5%
Investec Domestic 22.9%
30.0%
20.0%
10.0%
0.0%
9.1%10.1%
16.0% 14.6%
14.5% 15.5%
Int'l Equity EM Equity Int'l Bonds/Cash Int'l Prop
31-Dec-18 31-Mar-19
The chart below compares the actual asset allocation of the Growth Portfolio as at 31 March 2019 to that of the SAA.
31-Mar-19
50.0% 40.0% 30.0% 20.0% 10.0% 0.0% -10.0% | ||||||||||||
SA Equity | Hedged SA Equity | SA Prop | SA Bonds | SA Cash | SA Commodities | Int'l Equity | Int'l Bonds/Cash | Int'l prop | ||||
Growth Portfolio | 48.0% | 1.2% | 3.4% | 11.5% | 3.7% | 1.3% | 21.6% | 4.5% | 4.8% | |||
SAA | 42.0% | 0.0% | 5.0% | 18.0% | 5.0% | 0.0% | 23.0% | 4.0% | 3.0% | |||
Over/underweight | 6.0% | 1.2% | -1.6% | -6.5% | -1.3% | 1.3% | -1.4% | 0.5% | 1.8% | |||
50.0% 40.0% 30.0% 20.0% 10.0% 0.0% -10.0% | ||||||||||||
SA Equity | Hedged SA Equity | SA Prop | SA Bonds | SA Cash | SA Commodities | Int'l Equity | Int'l Bonds/Cash | Int'l prop | ||||
Growth Portfolio | 48.0% | 1.2% | 3.4% | 11.5% | 3.7% | 1.3% | 21.6% | 4.5% | 4.8% | |||
SAA | 42.0% | 0.0% | 5.0% | 18.0% | 5.0% | 0.0% | 23.0% | 4.0% | 3.0% | |||
Over/underweight | 6.0% | 1.2% | -1.6% | -6.5% | -1.3% | 1.3% | -1.4% | 0.5% | 1.8% | |||
60.0%
The estimated TER for the USAF Growth Portfolio is 0.74% p.a. for the one year ended 31 March 2019.
The TER is an annualised value (typically measured over a rolling three year period or since inception and expressed as %) and expenses included in the TER are:
Annual asset management fees;
Asset manager performance fees (if any);
Bank charges;
Audit fees;
Taxes (eg VAT);
Custodian and trustee fees;
Costs related to scrip lending (if any).
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