Model Portfolio Agathos World

M7 Absolute Return Portfolio

Definition of Mandate

Permitted shall be investments in the M7 universe of countries (Switzerland, USA, Japan, Great Britain, Eurozone, Australia, and Canada). Performance is measured in Swiss Francs (base currency). Investments may be in stocks, cash, and sovereign bonds. No minimum or maximum exposure weightings apply for any category of assets, except that total exposure of must never exceed 100% (gearing in any form is prohibited).  Derivative instruments will not be deployed. The mandate seeks a (positive) return in absolute terms, disregarding the composition of indices. Strategic exposure as well as stock picking are driven entirely based on a 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.

Risk Tolerance

Any erosion in value of the total mandate should not exceed -7.5% compared to the value 12 months previous.

Return Target

Over the medium term (trailing 36 months), performance shall be 10% p.a. or above.

Performance Graph 

Shown are the portfolio at market value, it’s value adjusted for perceived tactical risk (tactical risk value), the return target (pro rata temporis), and the risk tolerance level (pain threshold). Purely for comparison’s sake, the aggregate performance of Swiss pension funds is also shown.

Risk Monitor

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).

Transaction Volume

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 volume shown at the end of the table reflects the money-weighted average.