Model Portfolio Agathos Switzerland
Swiss Absolute Return Portfolio
Definition of Mandate
Permitted shall be investments in Switzerland and in Swiss Francs. Investments may be stocks, cash balance, and/or sovereign bonds. No minimum or maximum exposure weightings apply, except that total exposure must not exceed 100% (gearing prohibited). Derivative instruments are not permitted. The mandate seeks a (positive) return in absolute terms, disregarding the composition of any index. Strategic exposure as well as stock picking are driven entirely by the methodical assessment of investment outlook derived from the application of Agathos Vector Analysis. Investment policy is equal to the investment outlook adapted to the requirements of a specific (here a self-chosen) investment mandate.
Any erosion in value of the total mandate should not exceed a loss of -5% compared to it’s value 12 months previous.
Over the medium term (trailing 36 months), performance shall be 7.5% p.a. or better.
Shown are the portfolio at market value and, purely for comparison’s sake, the performance of the Swiss Market Index. The data has been rebased to a value of 100 at inception.
In the research methodology applied here (Agathos Vector Analysis) as well as in the general philosophy applied within this style of investment management, the ongoing assessment and handling of risk is of paramount importance. Tracking risk against the parameters defining a mandate is a matter of routine.
The graph shows the portfolio’s market value ‘as is’ and adjusted for risk. Risk-adjusted market value distinguishes between ‘probable’ risk and ‘conceivable’ risk. Both of these are forward looking estimates based on Agathos Vector Analysis. The risk-adjustment reflects the sum of individual risk assessments for all holdings.
Strategy & Actual Exposure
The graph shows total equity exposure in the portfolio and the number of holdings.
During May, total exposure has been scaled back further and the average weighting per holding has also been reduced.
Unrealised Profit & Loss
The graph illustrating P&L status of holdings shows the sums of unrealised gains, and unrealised losses respectively, each expressed in proportion to total book value (cash excluded).
The graph above plots purchases and sales in proportion to market value (previous month). Columns indicate cumulative turnover, ½ the sum of purchases and sales.
A number of existing positions were reduced for the sake of lowering overall risk but there were also a few stop-loss transactions in May. New purchases have been made with smaller weightings than before.
The table below lists concluded transactions, identifying details of the investments and profit or loss thus realised. The yield on transaction shown at the end of the table reflects the capital-weighted average.