UWRF - Wits Growth Optionuwrf.co.za/wp-content/uploads/2016/04/Risk-and...Mar 31, 2016 · Exposure...

Analysis Period: April 2015 to March 2016Risk and Performance Report

Benchmark: Wits Growth Benchmark

UWRF - Wits Growth 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 Growth Option March 2016 - Page 02

Performance overview

Fund (%) Benchmark (%) Active (%)

Current Month 4.26 4.37 -0.10

3-Month 2.47 2.51 -0.04

6-Month 7.86 6.74 1.05

12-Month 7.26 5.70 1.47

Year-to-date 2.47 2.51 -0.04

Monthly Average 0.62 0.49 0.12

Average monthly return over the last 12 months

Inception Date: 02 May 2007 (106 months)

Period Purchases (R'mill) Sales (R'mill) Turnover # Purchases # Sales

1 91.50 84.67 0.03 291.00 157.00

3 414.57 465.81 0.16 811.00 568.00

6 1 172.53 800.47 0.36 1465.00 1073.00

12 2 068.30 1 673.91 0.68 2989.00 2063.00

Turnover summary

Cash settlements excluded.

Exposure overview

Effective (R) Physical (R)

Fund value 2 767 269 109 2 767 269 109

Long 2 685 493 193 2 585 650 778

Short -68 920 489

Cash 150 696 405 181 618 331

1. Summary

Market value overview

Current month (R) 2 767 269 109

Previous month (R) 2 645 893 968

Previous quarter end (R) 2 762 928 624

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Asset class allocation

Regional allocation

Asset allocation by country

Country Asset class Weight (%) Weight in country (%) Market value (R)Africa Africa Equity 3.55 100.00 98 254 591.14

Africa total 3.55 100.00 98 254 591.14International Foreign Equity 24.84 100.00 687 368 124.88

International total 24.84 100.00 687 368 124.88South Africa Bond 6.27 8.75 173 422 724.39

Bond Ilb 10.48 14.64 290 107 462.99Cash 5.45 7.60 150 696 405.48Equity 43.48 60.71 1 203 143 768.83Property 5.94 8.29 164 276 031.32South Africa total 71.61 100.00 1 981 646 393.01

Total 100.00 2 767 269 109.03

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Relative performance vs. tracking error( 12 months to 31 March 2016 )

Note: Fund TE is forecasted

Compounded fund performance

( 12 months to 31 March 2016 )

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Active portfolio risk

Fund

Tracking error (%) 1.62

Tracking error at risk (%) -2.65

Residual (%) 0.75

Systematic (%) 0.87

Volatility (%) Sharpe Ratio Information Ratio

Fund 9.03 0.11 0.73

Benchmark 8.72 N/A N/A

Active 2.03 N/A N/A

Historical risk

Historical numbers calculated on 12 months' data

2. Risk analysis

Total portfolio risk

Wits Growth 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 (%) 9.52 10.15

Value at risk (VaR) (%) 0.99 1.05

Value at risk (VaR) (R) 27 300 454.35 29 114 285.13

Modified VaR (MVaR) (%) 0.97 1.07

Estimated tail loss (ETL) (%) 1.24 1.32

Modified ETL (METL) (%) 1.22 1.38

Skewness 0.08 -0.14

Excess kurtosis 0.22 0.29

Correlation 0.99 1.00

Beta 0.93 1.00

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Fund - physical Fund - effective Benchmark

Days Trade 0.38 0.38 0.21

Assets Tradable > 15 days 3 3 0

Assets Tradable > 5 days 6 6 0

Liquidity analysis

Liquidity over time( 12 months to 31 March 2016 )

Note: Analysis on listed equity instruments only Analysis on physical exposure

MSCI BarraOne factor exposure

Comparator Correlation Beta

All Bond Index 0.26 0.29

FTSE/JSE ALSI 40 0.91 0.51

JSE All share 0.92 0.54

Rand/Euro -0.23 -0.16

Rand/US Dollar -0.29 -0.19

Growth -0.03 -0.09

Value 0.08 0.20

Gold Shift 0.04 0.02

Oil Shift 0.32 0.09

ZA Butterfly -0.08 -1.88

ZA Shift 0.26 1.76

ZA Twist 0.02 0.67

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Yield curve

Duration over time( 12 months to 31 March 2016 )

Fund - effective Fund - physical Benchmark

Modified duration 10.04 9.51 10.91

Macaulay duration 10.24 9.67 11.12

Convexity 189.50 181.18 197.02

Dispersion 33.53 29.81 32.46

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 (%)

Africa Equity 3.55 3.55 4.00

Bond 6.27 5.77 10.00

Bond Ilb 10.48 10.45 10.00

Cash 5.45 6.56 3.50

Equity 43.48 42.92 41.62

Foreign Equity 24.84 24.84 22.50

Property 5.94 5.91 8.38

Asset allocation

3. Exposure analysis

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Economic group exposure over time


Economic group bets

3.1 Total fund exposure analysis

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UWRF - Wits Growth Option March 2016 -

Share name Fund - effective (%) Fund - physical (%) Company ownership (%)

FirstRand Bank Limited 2.55 2.55 0.15

Comair Limited 0.13 0.13 0.12

Randgold Resources Limited 0.02 0.02 0.12

Adcorp Holdings Limited 0.13 0.13 0.11

Northam Platinum Limited 1.36 1.38 0.09

Sun International Limited 0.44 0.44 0.08

Fairvest Property Holdings Limited 0.06 0.06 0.08

Aveng Limited 0.09 0.09 0.08

Group Five Construction (Pty) Ltd 0.13 0.13 0.07

Pan African Resources plc 0.28 0.28 0.07

Top 10 companies owned

Note: Analysis done on listed equity instruments only

Top 10 equity holding

Share name Fund - effective (%) Fund - physical (%) Benchmark (%)

Naspers Limited 9.12 9.02 14.45

British American Tobacco plc 6.80 6.82 4.27

Sasol Limited 5.50 5.51 3.99

Old Mutual plc 4.92 4.95 1.88

Standard Bank Group Limited 4.77 4.79 2.61

Steinhoff International Holdings Limited 3.45 3.43 4.03

FirstRand Bank Limited 2.44 2.44 2.40

Remgro Limited 2.30 2.30 1.97

Reinet Investments S.C.A. 2.24 2.26 0.76

SABMiller plc 2.13 2.03 3.66

Total 43.67 43.54 40.02

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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 68.39 65.85 88.42

% Parastatal 4.01 2.35 3.54

% Corporate (Financial sector) 1.08 1.05 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 1.99 1.94 0.00

% Cash 24.53 28.81 8.05

No. of instruments 202 200 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 31 March 2016 )

4. Performance analysis

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1-month (%) 3-month (%) 6-month (%) 12-month (%)

Fund 4.26 2.47 7.86 7.26

Benchmark 4.37 2.51 6.74 5.70

Attributed outperformance -0.10 -0.04 1.05 1.47

Regional allocation -0.16 -0.51 -0.21 -0.03

Asset class allocation 0.11 0.08 -0.07 -0.09

Manager allocation 0.25 -0.22 0.33 -0.18

Manager regional allocation 0.00 0.00 0.00 0.12

Manager asset class allocation -0.02 0.44 1.27 0.71

Manager industry allocation -0.15 -0.55 2.59 3.64

Manager stock selection -0.11 0.78 -2.72 -2.47

Cumulative performance attribution

Cumulative performance attribution over time( 12 months to 31 March 2016 )

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Contribution to relative return vs. average instrument bets

( 12 months to 31 March 2016)

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 Growth Optionuwrf.co.za/wp-content/uploads/2016/04/Risk-and...Mar 31, 2016 · Exposure...

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