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 contact us.
Key Characteristics
Portfolios Structure
- Portfolios are made of 14 to 17 Ucits or Alternative Ucits funds (according to profile).
- Two currency based portfolios ; in US dollar or in Euro.
- Apart one fund with a bi-monthly liquidity, all funds have a daily liquidity.
- Usually we select identical funds either for US dollar or Euro based portfolios, but keeping currency exposure hedge for fixed income funds.
- The performances are shown net of fees, calculated from 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, and to a certain extent to a diversification optimisation. Tactical bets such as investment style (value, growth defensive), sector allocation (e.g., commodities, real estate), interest rate or spread duration may 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 – 2nd Quarter 2019
In June, the central banks came to the rescue of the markets. Confronted by weaker economic data, risks to the trade outlook and still low inflation, the Federal Reserve and the European Central Bank indicated that the next moves are coming in the form of further monetary stimulus. So, bad economic news was good news for the markets.
Risk assets, such as equities and credit, rallied along with traditional safe haven assets, such as developed market government bonds, gold and yen. Reversing the weakness in risk assets in May, June’s strong performance has contributed to make a good quarter and certainly a good start for the year, almost irrespective of what you were invested in.
Developed market equities were up nearly 4% over the quarter and 17% year to date. Credit has also had a good quarter as well as start of the year. Most government bond indices are also up about 5% year to date, having rallied this last quarter.
Outlook
On a relative performance basis, all portfolios were hurt in the second quarter 2019 for the following main reasons:
- The underweight exposure to duration. It has been painful, mainly for the Yield & Income strategy. While the Barclays Global Aggregate Index has an effective duration of more than 6.5 years our portfolios have a weighted duration of less than 3 years. This caused a relative underperformance of 3% for the Yield & Income portfolio, 2.5% for the Balanced portfolio and 1.5% for the Growth portfolio.
- The deteriorating relative performance of Equity active managers during the second quarter. The long-term trend of the Large Cap Growth outperformance seems to be a never-ending story. While we decided to neutralize our style biases in the portfolios at the end of last year, active management continued to suffer from any deviation from a structurally growth oriented benchmark (by market capitalization, by sector allocation).
- The Absolute Return exposure in the Balanced Portfolio. It has been a lagging factor in regard to the portfolio’s performance, despite contributing positively to reduce risk by improving the portfolio return adjusted to risk, as measured by the sharpe ratio. Indeed, both the equity and the rate markets rallied strongly, which made the structural underweight in equity (33% vs 50%) costs 30bps in the second quarter and 29o bps since the beginning of the year. Adding to that, our holding in the Absolute Return pocket that faced some negative newsflow in June.
On the other hand, our overweight in Emerging Market has strongly contributed since the beginning of the year, mainly for the Yield and Income Portfolio.
Performance Review – June 2019
The MSCI ACWI (USD) was up a strong +6.4% during the month, while the Barclays Global Aggregate index (USD hedged) added +1.4%.
Active management had a mixed contribution in June. Over the 25 funds we have in all Model Portfolios, 12 recorded a positive excess return.
In absolute performance, the Growth portfolio (+4.4%) outperformed the Yield and Income portfolio (+2.9%) and the Balanced portfolio (+2.6%).
Yield & Income Portfolio (USD)
The portfolio underperformed its benchmark by -22bps. The underweight exposure in duration was again the main detractor during the month (-85bps). On the other side, the overweight exposure to EM debt was a contributing factor (+60bps).
Active management contribution was merely positive during the month (+7bps).
Balanced Portfolio (USD)
The portfolio underperformed its benchmark by -134bps during the month.
The absolute return pocket was again deteriorating due to the strong equity rally and fixed income rally (-110bps).
Active management was also deteriorating (-23bps), partly due to our exposure to the H2O Moderato holding (-32bps).
Growth Portfolio (USD)
The portfolio had a performance of +4.4% vs +4.8% for its benchmark (-42bps in relative).
Active management contributed positively (+7bps) which didn’t compensate for the short duration bias (-29bps).
US Dollar Portfolios
US Dollar - Yield and Income
Cumulative Performance to end June 2019
Calendar Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2019 | 4.59% | 1.67% | 0.63% | 1.97% | -2.39% | 2.89% | 9.59% | ||||||
| Benchmark | 3.39% | 0.96% | 1.58% | 1.16% | -1.02% | 3.11% | 9.45% | |||||||
| Portfolio | 2018 | 2.88% | -1.91% | -0.66% | 0.76% | -0.63% | -0.50% | 1.50% | -0.20% | 0.71% | -3.54% | -0.22% | -2.48% | -4.36% |
| Benchmark | 1.42% | -1.55% | -0.21% | 0.07% | 0.26% | -0.04% | 1.00% | 0.42% | -0.12% | -2.63% | 0.80% | -1.48% | -2.12% | |
| 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 June 2019
Calendar Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2019 | 4.01% | 1.50% | 0.36% | 1.64% | -2.64% | 2.63% | 7.60% | ||||||
| Benchmark | 4.50% | 1.38% | 1.48% | 1.71% | -2.24% | 3.97% | 11.13% | |||||||
| Portfolio | 2018 | 2.75% | -1.59% | -0.42% | 0.82% | -0.97% | -0.54% | 1.49% | -0.32% | 0.78% | -3.58% | -0.07% | -2.11% | -3.84% |
| Benchmark | 2.47% | -2.21% | -0.73% | 0.31% | 0.22% | -0.15% | 1.50% | 0.48% | 0.02% | -3.84% | 0.96% | -2.88% | -3.96% | |
| 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 June 2019
Calendar Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2019 | 6.20% | 2.06% | 0.72% | 2.40% | -4.34% | 4.41% | 11.64% | ||||||
| Benchmark | 5.61% | 1.81% | 1.38% | 2.27% | -3.47% | 4.83% | 12.80% | |||||||
| Portfolio | 2018 | 3.65% | -2.87% | -1.07% | 0.82% | -0.44% | -1.19% | 1.66% | 0.54% | 0.00% | -6.66% | 0.64% | -4.12% | -9.06% |
| Benchmark | 3.53% | -2.87% | -1.24% | 0.54% | 0.17% | -0.26% | 2.00% | 0.55% | 0.16% | -5.05% | 1.13% | -4.28% | -5.81% | |
| 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 June 2019
Calendar Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2019 | 4.15% | 1.82% | 1.00% | 1.86% | -2.37% | 1.85% | 8.47% | ||||||
| Benchmark | 3.06% | 1.06% | 1.89% | 1.05% | -1.02% | 2.15% | 8.43% | |||||||
| Portfolio | 2018 | 1.46% | -1.36% | -1.10% | 1.26% | 0.42% | -0.66% | 1.26% | -0.03% | 0.64% | -2.96% | -0.39% | -2.99% | -4.49% |
| Benchmark | 0.04% | -0.99% | -0.65% | 0.53% | 1.28% | -0.21% | 0.78% | 0.45% | -0.21% | -2.02% | 0.66% | -1.98% | -2.37% | |
| 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 June 2019
Calendar Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2019 | 3.70% | 1.71% | 0.86% | 1.56% | -2.56% | 1.43% | 6.79% | ||||||
| Benchmark | 4.15% | 1.66% | 2.07% | 1.69% | -2.11% | 2.68% | 10.46% | |||||||
| Portfolio | 2018 | 1.08% | -0.82% | -0.93% | 1.60% | 0.42% | -0.67% | 1.30% | -0.19% | 0.71% | -2.76% | -0.21% | -2.66% | -3.17% |
| Benchmark | 0.48% | -1.28% | -1.26% | 1.10% | 1.86% | -0.28% | 1.28% | 0.65% | -0.01% | -2.80% | 0.88% | -3.48% | -2.97% | |
| 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 June 2019
Calendar Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2019 | 5.86% | 2.49% | 1.58% | 2.40% | -4.08% | 2.86% | 11.35% | ||||||
| Benchmark | 5.24% | 2.25% | 2.25% | 2.32% | -3.20% | 3.21% | 12.48% | |||||||
| Portfolio | 2018 | 1.10% | -1.62% | -1.70% | 1.97% | 1.78% | -1.28% | 1.39% | 0.87% | 0.07% | -5.27% | 0.55% | -4.81% | -7.06% |
| Benchmark | 0.93% | -1.56% | -1.86% | 1.67% | 2.43% | -0.35% | 1.78% | 0.85% | 0.20% | -3.58% | 1.10% | -4.97% | -3.61% | |
| 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