Portfolios of Active Funds

WSP Model Portfolios are built from our universe of selected active Ucits funds. We manage actively the allocation according to current and expected market conditions and taking into consideration the fund managers’ exposure.

The aim is to demonstrate that an optimal combination of strategies, coupled with a careful selection of active fund managers, have the ability to deliver added-value to investors over the long run, while keeping a full exposure and constant asset allocation within the given investment profiles.

More detailed reporting including portfolio quantitative and qualitative data are available to customers having subscribed to the WS Partners Model Portfolio Services. Would you request more information on this service, please do not hesitate to contact us.

Key Characteristics

Portfolios Structure

  • Portfolios are made up of 14 to 17  Ucits or Alternative Ucits funds (according to profile).
  • Two currency based family of portfolios ; in US dollar and in Euro.
  • Apart one fund with a bi-monthly liquidity, all funds have a daily liquidity.
  • Usually we select the same funds for the USD or the EUR based portfolios, including currency exposure hedged for fixed income funds.
  • The performances are shown net of fees, calculated on the cheapest share classes, hence making our Model Portfolios fully replicable.

Strategic Allocations

We keep a constant balance between equity and fixed income strategies according to Model Portfolio profiles and guidelines. We also maintain a neutral currency and regional allocation compare to benchmarks.

The portfolio outperformance should mainly arise from the alpha generated by active management. Tactical bets such as investment style (value, growth defensive), sector allocation (e.g., commodities, real estate), interest rate or spread duration might also contribute, time to time, to the value added generation.

Yield & Income Portfolio

A conservative portfolio with a 1/3 equity and 2/3 fixed income allocation.

Within the equity universe we tend to favour yielding strategies rather than pure price appreciation funds.

The objective is to outperform over time a benchmark composed by 1/3 of the MSCI All Country World Index, and by 2/3 of the Barclays Global Aggregate Bond Index.

Balanced Portfolio

The portfolio aims to outperform a benchmark made of 50% MSCI All Country World Index, and 50% Barclays Global Aggregate Bond Index in a risk-adjusted return basis and with a capital preservation mindset.

For that reason, we maintain around 33% of the portfolio allocation into Absolute Return strategies, including Alternative Ucits funds.

Growth Portfolio

The most equity oriented portfolio with the aim to beat a benchmark composed by 2/3 of the MSCI All Country World Index and 1/3 of the Barclays Global Aggregate Bond Index. Growth of capital through capital appreciation is the main long term portfolio objective.

Market Review and Outlook

Trade tensions remained acute during the month of July, but ultimately the impressive strength of corporate earnings was enough to push equity markets higher across the developed world. Over the course of the month, the S&P500 gained nearly 4% and European equities rose 4% and are now up on the year. Once again, the Emerging Markets equity were lagging (+1.8% for the MSCI EM index). Value style outperformed the growth style during the month (3.7% vs. 2.6%).

In fixed income, good economic news also propelled the 10-year US Treasury yield to 3%. Inflation rose to 2.9% in June, well above the Federal Reserve’s (Fed’s) target. Though some of this strength is attributed to the rise of oil prices, both inflation and employment are near the Fed’s target, it is expected the interest rates to continue to normalise at pace of 25bps per quarter. In Europe, all key interest rates remained unchanged and the ECB reaffirmed its intention to end QE by the end of the year, but to hold interest rates at their current levels through the summer 2019. EM fixed income rebounded in July, after 5 negative months in a row, led by the sovereign EM hard currency debt (+2.1%).

Outlook

We continue to rebalance our equity allocation from a value bias to a neutral stance and to reinforce our emerging markets debt exposure through a local currency exposure. We believe an active portfolio manager in emerging debts should take profit from this indiscriminate dislocation of the market.

In alternative strategies, we will continue to expand our balanced portfolio diversification towards less directional strategies, whenever we find the opportunity to add successful managers. The recent market movement has severely shaken many alternative strategies, leaving many with double digit negative performance YTD, while some are delivering regular positive performance. It constitutes an interesting stress test period that will help us evidence the most robust market neutral strategies.

Performance Review – July 2018

The MSCI AC World Equity Index  (USD) returned +2.7% during the month, while the Barclays Global Aggregate index (USD hedged) finished flat.

In July, active management struggled particularly in equities. Their contribution were deteriorating, as over the 27 funds in all the Model Portfolios, 15 recorded a negative excess return for the period.

In absolute terms, Growth portfolio (+1.7%) outperformed the Yield and Income portfolio (+1.5%) and the Balanced portfolio (+1.5%).

Yield & Income Portfolio (USD)

The portfolio outperformed its benchmark by 50bps, which help it to be back into relative positive territory on a YTD basis (+1.4% vs. +0.9%). The portfolio benefited from its overweight in EM debt, from the diversifying fixed income strategies (ABS, CLOs, Cat Bonds), well as the positive contribution of active management (+10bps, mostly from fixed income).

Balanced Portfolio (USD)

The balanced strategy was flat relative to its benchmark (at -1bps) in July, and YTD the relative performance finished slightly positive (+1.5% vs. +1.4%). Overweight exposure to EM debt was the main contributor, while the absolute return strategies detracted slightly. Active management contribution was flat

Growth Portfolio (USD)

The growth portfolio underperformed by 34bps in July and by 133bps since the beginning of the year. Most active equity managers struggle to generate alpha over the last 3 months. The underperformance of small caps vs. large cap in July, and the frequent sector rotation since the beginning of the year are part of the explanation for this relative underperformance. In July, active management had a negative contribution of 29bps.

Our overweight exposure in deep value strategies have been reduced in order to maintain a more balanced style exposure.

US Dollar Portfolios

US Dollar - Yield and Income

Cumulative Performance to end July 2018


Calendar Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
Portfolio 2018 2.88% -1.91% -0.66% 0.76% -0.63% -0.50% 1.50% 1.38%
Benchmark 1.42% -1.55% -0.21% 0.07% 0.26% -0.04% 1.00% 0.93%
Portfolio 2017 2.15% 1.58% 0.72% 1.01% 1.27% 0.19% 1.55% 0.03% 0.58% 1.05% 0.61% 1.07% 12.45%
Benchmark 0.68% 1.49% 0.35% 0.95% 1.10% -0.06% 1.13% 0.71% 0.32% 0.95% 0.73% 0.63% 9.36%
Portfolio 2016 1.16% 2.25% 1.04% 0.86% -0.43% -1.25% 1.25% 4.93%
Benchmark 1.04% 1.81% 0.06% 0.17% -1.23% -0.86% 0.84% 1.81%

Benchmark: 1/3 iShares MSCI All Country World ETF+ 2/3 X II Barclays Gbl Agg ETF
Source: WS Partners, Morningstar


US Dollar - Balanced

Cumulative Performance to end July 2018


Calendar Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
Portfolio 2018 2.75% -1.59% -0.42% 0.82% -0.97% -0.54% 1.49% 1.49%
Benchmark 2.47% -2.21% -0.73% 0.31% 0.22% -0.15% 1.50% 1.35%
Portfolio 2017 1.85% 1.21% 0.74% 0.84% 0.87% 0.64% 1.73% 0.04% 1.19% 1.03% 0.93% 0.66% 12.35%
Benchmark 1.19% 1.82% 0.56% 1.10% 1.37% 0.07% 1.54% 0.63% 0.72% 1.23% 1.02% 0.88% 12.82%
Portfolio 2016 0.01% 2.83% 0.94% 0.65% -0.55% 0.36% 1.59% 5.93%
Benchmark 0.62% 2.43% 0.12% 0.28% -1.35% -0.46% 1.17% 2.81%

Benchmark: 1/2 iShares MSCI All Country World ETF+ 1/2 X II Barclays Gbl Agg ETF
Source: WS Partners, Morningstar


US Dollar - Growth

Cumulative Performance to end July 2018


Calendar Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
Portfolio 2018 3.65% -2.87% -1.07% 0.82% -0.44% -1.19% 1.66% 0.42%
Benchmark 3.53% -2.87% -1.24% 0.54% 0.17% -0.26% 2.00% 1.75%
Portfolio 2017 2.83% 1.52% 1.28% 1.65% 1.88% 0.46% 2.48% -0.28% 1.77% 1.50% 1.22% 1.64% 19.45%
Benchmark 1.70% 2.14% 0.78% 1.25% 1.65% 0.19% 1.95% 0.54% 1.12% 1.51% 1.32% 1.12% 16.37%
Portfolio 2016 -1.01% 4.18% 1.46% 1.17% -1.04% 0.28% 1.33% 6.44%
Benchmark 0.21% 3.05% 0.19% 0.39% -1.47% -0.06% 1.50% 3.80%

Benchmark: 2/3 iShares MSCI All Country World ETF+ 1/3 X II Barclays Gbl Agg ETF
Source: WS Partners, Morningstar

Euro Portfolios

Euro - Yield and Income

Cumulative Performance to end July 2018


Calendar Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
Portfolio 2018 1.46% -1.36% -1.10% 1.26% 0.42% -0.66% 1.26% 1.24%
Benchmark 0.04% -0.99% -0.65% 0.53% 1.28% -0.21% 0.78% 0.75%
Portfolio 2017 1.24% 2.08% 0.35% 0.20% 0.10% -0.38% 0.23% -0.41% 0.61% 1.46% -0.20% 0.56% 5.97%
Benchmark -0.24% 2.01% 0.03% 0.26% -0.09% -0.64% -0.11% 0.31% 0.41% 1.35% -0.17% 0.26% 3.39%
Portfolio 2016 1.12% 2.05% 1.00% 0.53% 0.20% -0.23% 1.34% 6.16%
Benchmark 1.03% 1.51% 0.11% -0.22% -0.52% 0.14% 0.92% 3.00%

Benchmark: 1/3 iShares MSCI All Country World ETF (EUR) + 2/3 X II Barclays Gbl Agg ETF H EUR
Source: WS Partners, Morningstar


Euro - Balanced

Cumulative Performance to end July 2018


Calendar Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
Portfolio 2018 1.08% -0.82% -0.93% 1.60% 0.42% -0.67% 1.30% 1.97%
Benchmark 0.48% -1.28% -1.26% 1.10% 1.86% -0.28% 1.28% 1.87%
Portfolio 2017 0.67% 1.98% 0.39% -0.11% -0.71% -0.09% 0.02% -0.47% 1.34% 1.57% -0.12% 0.19% 4.72%
Benchmark -0.12% 2.65% 0.16% 0.13% -0.33% -0.72% -0.22% 0.12% 0.93% 1.91% -0.23% 0.41% 4.72%
Portfolio 2016 0.25% 2.48% 1.02% 0.24% 0.35% 1.68% 1.74% 8.00%
Benchmark 0.67% 2.03% 0.27% -0.24% -0.20% 1.13% 1.38% 5.13%

Benchmark: 1/2 iShares MSCI All Country World ETF (EUR) + 1/2 X II Barclays Gbl Agg ETF H EUR
Source: WS Partners, Morningstar


Euro - Growth

Cumulative Performance to end July 2018


Calendar Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
Portfolio 2018 1.10% -1.62% -1.70% 1.97% 1.78% -1.28% 1.39% 1.56%
Benchmark 0.93% -1.56% -1.86% 1.67% 2.43% -0.35% 1.78% 2.98%
Portfolio 2017 1.24% 2.58% 0.76% 0.29% -0.22% -0.54% 0.21% -0.93% 2.03% 2.43% -0.28% 0.98% 8.82%
Benchmark 0.00% 3.28% 0.29% 0.00% -0.56% -0.81% -0.34% -0.08% 1.45% 2.46% -0.29% 0.57% 6.05%
Portfolio 2016 -0.95% 3.88% 1.55% 0.66% 0.46% 2.35% 1.69% 9.98%
Benchmark 0.31% 2.56% 0.42% -0.26% 0.12% 2.13% 1.83% 7.28%

Benchmark: 2/3 iShares MSCI All Country World ETF (EUR) + 1/3 X II Barclays Gbl Agg ETF H EUR
Source: WS Partners, Morningstar