rebalance inflation plus portfolio range€¦ · portfolio manager/economist dr chris harmse one...

Rebalance Inflation Plus Portfolio Range

Rebalance Inflation Plus 7 Portfolio

May 2020

Investment strategy Investment portfolio mandate

This investment portfolio is aimed at retirement fund members who are in the accumulation phase of investing. These members would have a long-term investment horizon and should be invested in growth assets. To achieve this growth, the portfolio will have an allocation of about 85% to growth assets.

The portfolio is aimed at outperforming its return target over seven-year rolling periods. To generate sufficient real returns and outperform its return target, the portfolio will have a high exposure to growth assets, including listed property and will favour equity assets while also including other growth assets. The portfolio is invested locally and globally and is Regulation 28 compliant.

Benchmark allocation

Asset Class Allocation BenchmarkLocal equities 42.00% FTSE/JSE Africa All-Share IndexLocal property 2.00% FTSE/JSE SA Listed Property IndexLocal bonds 32.00% JSE ASSA All Bond IndexLocal cash 3.00% Short-term Fixed Interest Composite IndexGlobal equities 15.00% MSCI All Countries World IndexGlobal property 3.00% Global Property Research 250 IndexAfrican equities 3.00% MSCI EFM Africa ex South Africa

Investment returns

One Month

Three Months

OneYear

Three Years

Five Years

Since Inception

Portfolio 0.47% -0.83% 0.47% 4.89% 4.94% 13.04%Benchmark 2.34% 1.49% 3.40% 6.32% 6.36% 13.36%CPI + 7.0% p.a 10.49% 11.13% 11.79% 12.62%

Cumulative investment returns for three yearsPortfolio Benchmark CPI + 7.0% p.a

Portfolio Benchmark

Asset allocation

Investment portfolio information and risk analysisInception DateInvestment Horizon

Risk Profile

December 2012More than seven years

(Calculation based on three-year period) Portfolio Benchmark Volatility 9.8% 11.3%Maximum drawdown -12.7% -14.3%Active risk 3.0%Sharpe ratio -0.2 -0.1Information ratio -0.5Beta 0.8

Investment Manager Rebalance Fund ManagersPortfolio Manager/Economist Dr Chris Harmse

One Month One Year WeightingLocal equity managersMomentum Value Equity -0.44% 4.0%Momentum Quality Equity 0.09% 9.8%Momentum Capped SWIX Index -0.34% -14.49% 11.4%Momentum Trending Equity 1.87% 11.3%Momentum Protected Equity -1.2%Local property managersCatalyst -0.76% -47.58% 1.7%Local bond managersPrescient 6.06% -0.23% 3.5%Local cash managersALUWANI 0.57% 8.34% 4.4%Liquidity 0.55% 7.86% 2.2%Global equity managersBlackrock (developed markets) -0.34% 27.86% 15.6%Blackrock (emerging markets) -3.34% 15.05% 7.4%Local flexible income managersALUWANI 1.54% 7.22% 26.6%Local commodity managersCoherent -0.01% 13.84% 3.3%Total 100%

Investment manager allocation and returns

The inception date of this portfolio is 1 December 2012 and actual portfolio and benchmark returns have been used since then. From January 2005, investment returns are based on a combination of actual and back-tested returns. The majority of the back-tested returns are based on actual building-block returns as most have lengthy track records.

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