PRISM CHARTBOOK GBP, USD & EUR

Transcription

1 PRISM CHARTBOOK GBP, USD & EUR March 2019 Platform Investment Treasury

2 Contents Strategy Overview 3 Master Investment Strategy 4 Investment Commentary 5 Horizon 1 6 Horizon 1+ 7 Horizon 2 8 Horizon 2+ 9 Horizon 3 10 Horizon Horizon 4 12 Horizon 5 13 Horizon 6 14 Horizon 8 15 Horizon Enhanced Growth 17

3 Master Investment Strategy March 2019 Strategy Overview The Master Investment Strategy pursues a strategy of maximum diversification, investing across a wide range of asset classes including equities, bonds, property and alternatives, in order to maximise returns per unit of risk. It is not necessary for the strategy to target aggressive returns, but to achieve an optimal balance between risk and return. The underlying assets of the Master Investment Strategy are carefully selected to create a highly diversified portfolio largely consisting of individual securities, although investment trusts, exchange traded funds, actively managed funds and other investments may also be used. Master strategy allocations Equity Bonds High Yield Property Commodity Alternative Cash PRISM Strategy Overview PRISM offers a full spectrum of defined risk-return profiles, with performance driven from a single optimal investment strategy. This Master Investment Strategy is a highly diversified investment portfolio that aims to optimise returns per unit of risk. Each PRISM profile has a defined mean return and a defined volatility which, together with the performance of the Master Investment Strategy, are used to calculate returns in each period. These defined risk-return profiles are published in advance, providing investors and their advisors clarity as to the expected performance characteristics of their investment. Some profiles enjoy an element of capital protection over their stated investment time horizon, giving greater peace of mind to investors with less risk appetite.

4 Master Investment Strategy Expected Mean Return: 7.1 Expected Volatility: 7.0 Investment Time Horizon: 5 years 2 2 Returns 3 months months -1.2% - 1 year 3.7% 6.8% - Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 3 years 19.5% 6. 5 years 25.2% 6.7% 10 years 108.1% 7. Annualised 7.6% 7. MIS H1 H1+ H2 H2+ H3 H3+ H4 H5 H6 H8 H10 Enh Returns Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 MIS H1 H1+ H2 H2+ H3 H3+ H4 H5 H6 H8 H10 Enh Expected Mean Return: 7.85% Expected Volatility: 7.0 Investment Time Horizon: 5 years 3 months 5.9% - 6 months -0.4% - 1 year 3.2% 6.9% 3 years 21.2% 6. 5 years 26.5% 6.7% 10 years 107.9% 7. Annualised 7.6% 7.4% Expected Mean Return: 6.2 Expected Volatility: 7.0 Investment Time Horizon: 5 years 2 2 Returns 3 months 6.1% - 6 months -0.9% - 1 year 3.1% 7.6% - Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 3 years 16.7% 6.3% 5 years 20.6% 6.9% 10 years 98.6% 7.1% Annualised 7.1% 7.4% MIS H1 H1+ H2 H2+ H3 H3+ H4 H5 H6 H8 H10 Enh 4

5 Investment Commentary Global equity markets continued to perform strongly in March, capping off their strongest quarter since The key driver was a complete reversal in rhetoric from the US Federal Reserve, with forecasts of no more rate hikes in As a result, bond yields have fallen further, with the bond markets now pricing in the possibility of a cut in rates. The strategy returned 1.68% in the calendar month of March with bonds providing 36 basis points ( bps ), property 20 bps and equities 112 bps. Overall, the strategy s alternative positions were flat with mixed returns from hedge assets, strength from commodities, but weakness from our infrastructure holdings. The most notable activity this month was the increase in value of our position in Inmarsat which received a non-binding takeover offer from an investment consortium. Following the strong rebound in equity markets, we have recently reduced our equity allocation within the strategy; this reflects some concerns over the risks surrounding the outcome of Brexit negotiations and the overall health of the global economy. With good profits made during the year to date, we prefer to err on the side of caution until we see economic data improve. The key driver was a complete reversal in rhetoric from the US Federal Reserve... A further note on Brexit; any outcome will likely have a binary impact on UK based assets within the strategy. Whilst UK equity and UK real estate valuations remain attractive relative to global peers, we also maintain good exposure to non-sterling assets with a number of large cap names that derive a significant proportion of their revenues in currencies other than Sterling. 5

6 Horizon 1 Strategy 15% H1 Defined Mean Return: 1. Defined Volatility: 0. Over Full Time Horizon: 5% 3 months 0.5% - 6 months 0.3% - 1 year % 3 years 3.6% 0.4% 5 years 5.4% 0.5% 10 years 13.2% 0.5% Annualised 1.2% 0.5% 15% H1 Defined Mean Return: 2. Defined Volatility: 0. Over Full Time Horizon: 5% 3 months 0.8% - 6 months 0.8% - 1 year 1.9% 0.5% 3 years 5.5% 0.4% 5 years 7.1% 0.5% 10 years 13.8% 0.5% Annualised 1.3% 0.7% 15% H1 Defined Mean Return: 0.3 Defined Volatility: 0. Over Full Time Horizon: 99% 5% 3 months 0.4% - 6 months -0.1% - 1 year 0.1% 0.5% 3 years 0.7% 0.4% 5 years 0.8% 0.5% 10 years 5.8% 0.5% Annualised 0.6% 0.5% 6

7 Horizon 1+ Strategy 2 15% 7 4 H1+ Defined Mean Return: 2.0 Defined Volatility: 1.2 Over Full Time Horizon: 1 5% -5% 3 months months 0.2% - 1 year 1.5% 1.2% 3 years 5.5% 0.9% 5 years 8.1% years Annualised 1.9% % 7 4 H1+ Defined Mean Return: 2.9 Defined Volatility: 1.2 Over Full Time Horizon: 1 5% -5% 3 months 1.4% - 6 months 0.7% - 1 year 2.7% 1.2% 3 years 8.1% 1. 5 years 10.2% 1.1% 10 years 22.8% 1.1% Annualised 2.1% 1.2% 2 15% 7 4 H1+ Defined Mean Return: 1.0 Defined Volatility: 1.2 Over Full Time Horizon: 98% 1 5% -5% 3 months months -0.2% - 1 year 0.5% 1.3% 3 years 2.5% 1. 5 years 3.2% 1.1% 10 years 12.8% 1.1% Annualised 1.2% 1.1% 7

8 Horizon 2 Strategy H2 Defined Mean Return: 3.0 Defined Volatility: 2.2 Over Full Time Horizon: 99% 3 months 1.8% - 6 months year % 3 years 8.1% 1.8% 5 years 11.4% 1.9% 10 years 32.6% 2. Annualised 2.9% 1.9% H2 Defined Mean Return: 3. Defined Volatility: 2.2 Over Full Time Horizon: 99% months 2.1% - 6 months 0.5% - 1 year 2.4% 2.1% 3 years 9.7% 1.8% 5 years 12.5% years 34.3% 2.1% Annualised % H2 Defined Mean Return: 2.0 Defined Volatility: 2.2 Over Full Time Horizon: 97% months 1.9% - 6 months -0.2% - 1 year 1.1% 2.4% 3 years 5.2% 1.9% 5 years 6.6% years 24.8% 2. Annualised 2.2% 2.1% 8

9 Horizon 2+ Strategy H2+ Defined Mean Return: 4.0 Defined Volatility: 3.4 Over Full Time Horizon: 97% 3 months 2.6% - 6 months -0.3% - 1 year 2.4% 3.3% 3 years 10.6% 2.8% 5 years 14.3% years 47.2% 3.1% Annualised 3.9% 3.1% H2+ Defined Mean Return: 4.8 Defined Volatility: 3.4 Over Full Time Horizon: 97% months 3.1% - 6 months 0.3% - 1 year 2.7% 3.3% 3 years 12.7% 2.8% 5 years 16.2% 3.1% 10 years 49.7% 3.2% Annualised 4.1% 3.4% H2+ Defined Mean Return: 3.0 Defined Volatility: 3.4 Over Full Time Horizon: months 2.9% - 6 months -0.4% - 1 year 1.6% 3.7% 3 years 7.7% 2.9% 5 years 9.7% 3.1% 10 years 38.5% 3.1% Annualised 3.3% 3.2% 9

10 Horizon 3 Strategy 9 65% 7 4 H3 Defined Mean Return: 5.0 Defined Volatility: 4.6 Over Full Time Horizon: 4 15% -1 3 months 3.4% - 6 months -0.6% - 1 year 2.8% 4.5% 3 years 13.2% 3.8% 5 years % 10 years 61.5% 4.3% Annualised 4.9% 4.3% 9 65% 7 4 H3 Defined Mean Return: 5.8 Defined Volatility: 4.6 Over Full Time Horizon: 4 15% -1 3 months months 0.1% - 1 year 2.9% 4.5% 3 years 15.4% 3.8% 5 years 19.6% 4.2% 10 years 66.1% 4.3% Annualised 5.2% 4.5% 9 65% 7 4 H3 Defined Mean Return: 4.1 Defined Volatility: 4.6 Over Full Time Horizon: 93% 4 15% -1 3 months months -0.6% - 1 year 2.2% 5. 3 years 10.7% 4. 5 years 13.2% 4.3% 10 years 55.6% 4.4% Annualised 4.5% 4.5% 10

11 Horizon 3+ Strategy 7 4 H3+ Defined Mean Return: 6.0 Defined Volatility: months 4.3% - 6 months -1.1% - 1 year 3.1% 5.8% 3 years 15.6% 5. 5 years 19.3% 5.4% 10 years 76.5% 5.6% Annualised 5.8% 5.6% 7 4 H3+ Defined Mean Return: 6.8 Defined Volatility: months months -0.3% - 1 year 2.9% 5.9% 3 years 18.2% 5. 5 years 22.9% 5.5% 10 years 85.6% 5.6% Annualised 6.4% 5.9% 7 4 H3+ Defined Mean Return: 5. Defined Volatility: months 5.2% - 6 months -0.8% - 1 year 2.7% 6.5% 3 years 13.7% 5.2% 5 years 16.7% 5.6% 10 years 74.3% 5.7% Annualised 5.7% 5.9% 11

12 Horizon 4 Strategy H4 Defined Mean Return: 7.0 Defined Volatility: 7. 3 months 5.1% - 6 months -1.4% - 1 year 3.5% 7. 3 years 18.1% 6.1% 5 years 21.5% 6.8% 10 years 92.7% 7. Annualised 6.8% H4 Defined Mean Return: 7. Defined Volatility: months months -0.6% - 1 year % 3 years 20.9% 6. 5 years % 10 years 104.3% 6.8% Annualised 7.4% 7.1% 7 4 H4 Defined Mean Return: 6. Defined Volatility: months 6.3% - 6 months year 3.1% 7.9% 3 years 16.4% 6.4% 5 years 19.4% 6.9% 10 years % Annualised 6.9% 7.4% 12

13 Horizon 5 Strategy 7 4 H5 Defined Mean Return: 8.0 Defined Volatility: months 6.1% - 6 months year 3.7% 8.5% 3 years 20.4% 7.4% 5 years 23.4% 8.1% 10 years 109.5% 8.4% Annualised 7.7% 8.4% 7 4 H5 Defined Mean Return: 8. Defined Volatility: months 7.1% - 6 months -1.1% - 1 year % 3 years 23.5% 7.3% 5 years 28.9% years 126.2% 8.2% Annualised 8.5% 8.6% 7 4 H5 Defined Mean Return: 7. Defined Volatility: months 7.6% - 6 months -1.5% - 1 year 3.3% 9.5% 3 years 18.8% 7.8% 5 years 21.6% 8.3% 10 years 114.1% 8.5% Annualised 7.9% 8.8% 13

14 Horizon 6 Strategy H6 Defined Mean Return: 9.0 Defined Volatility: months 7.1% - 6 months -2.5% - 1 year 3.9% 9.9% 3 years 22.6% 8.7% 5 years 24.9% 9.6% 10 years % Annualised 8.5% 9.9% 7 4 H6 Defined Mean Return: 9.6 Defined Volatility: months 8.2% - 6 months -1.6% - 1 year 2.8% 10.1% 3 years 25.9% 8.6% 5 years 31.2% 9.4% 10 years 148.3% 9.6% Annualised 9.5% 10.1% H6 Defined Mean Return: 8. Defined Volatility: months 8.8% - 6 months -1.9% - 1 year 3.6% 11.1% 3 years 21.3% 9.1% 5 years 23.7% 9.8% 10 years 135.7% 10. Annualised % 14

15 Horizon 8 Strategy H8 Defined Mean Return: 10.0 Defined Volatility: months 8.2% - 6 months -3.3% - 1 year 3.9% 11.6% 3 years 24.7% 10.2% 5 years 25.6% 11.3% 10 years 144.7% 11.6% Annualised 9.4% 11.7% H8 Defined Mean Return: 10. Defined Volatility: months 9.4% - 6 months -2.3% - 1 year 2.5% 11.8% 3 years 28.3% 10.1% 5 years 33.2% years 173.2% 11.3% Annualised 10.6% 11.8% H8 Defined Mean Return: 9. Defined Volatility: months 10.3% - 6 months -2.4% - 1 year 3.7% 13.1% 3 years 23.4% 10.6% 5 years 25.2% 11.4% 10 years 157.5% 11.6% Annualised 9.9% 12.1% 15

16 Horizon 10 Strategy H10 Defined Mean Return: 12.0 Defined Volatility: months 10.7% - 6 months -5.1% - 1 year 3.6% 15.5% 3 years % 5 years 26.3% 14.6% 10 years 180.4% 15. Annualised 10.9% H10 Defined Mean Return: 12.4 Defined Volatility: months 12.3% - 6 months year 1.4% 15.7% 3 years 32.5% 13.4% 5 years 34.8% 14.6% 10 years Annualised 12.5% 15.7% H10 Defined Mean Return: 11. Defined Volatility: months 13.7% - 6 months -3.8% - 1 year 3.8% 17.4% 3 years years 27.8% 14.9% 10 years 206.1% 15.2% Annualised 11.8% 15.8% 16

17 Enhanced Growth Strategies Enh Defined Mean Return: 14.0 Defined Volatility: months 13.2% - 6 months -7.1% - 1 year 3.2% 19.4% 3 years % 5 years 25.1% 18.2% 10 years 215.8% 18.7% Annualised 12.2% 18.7% Enh Defined Mean Return: 14.3 Defined Volatility: months 15.2% - 6 months -5.7% - 1 year 0.3% 19.7% 3 years 35.4% 16.8% 5 years 33.6% 18.3% 10 years 266.6% 18.8% Annualised 13.9% 19.7% Enh Defined Mean Return: 13. Defined Volatility: months months -5.4% - 1 year 3.5% 21.7% 3 years 31.4% 17.5% 5 years 27.6% 18.7% 10 years 248.9% 19. Annualised 13.3% 19.8% 17

18 Isle of Man Head Office Capital International Group Capital House Circular Road Douglas Isle of Man IM1 1AG +44 (0) South Africa Office Capital International SA Great Westerford 240 Main Road Rondebosch 7700 South Africa +27 (0)

19 Platform Investment Treasury This document has been prepared for information purposes only and does not constitute an offer or an invitation, by or on behalf of any company within the Capital International Group of companies or any associated company, to buy or sell any security. Nor does it form a constituent part of any contract that may be entered into between us. Opinions constitute our judgement as of this date and are subject to change. The information contained herein is believed to be correct, but its accuracy cannot be guaranteed. Any reference to past performance is not necessarily a guide to the future. The price of a security may go down as well as up and its value may be adversely affected by currency fluctuations. The company, its clients and officers may have a position in, or engage in transactions in any of the securities mentioned. PRISM GBP, USD and EUR Strategies were launched in June 2014, April 2018 and September 2018 respectively. Historical performance is calculated by reference to the actual investment performance of Fusion Alpha modelled into the PRISM product structure. PRISM reserves the right to levy a performance fee on the Master Investment Strategy on performance in excess of the defined return profiles. Full details of PRISM are contained in the PRISM Brochure, Terms of Business and associated literature which is available upon request. Regulated activities are carried out on behalf of Capital International Group by its licensed member companies. Capital International Limited, Capital Treasury Services Limited and Capital Financial Markets Limited are all licensed by the Isle of Man Financial Services Authority. Capital International Limited is a member of the London Stock Exchange. Registered Address: Capital House, Circular Road, Douglas, Isle of Man, IM1 1AG. CILSA Investments (PTY) Ltd (FSP No ) and CILSA Solutions (PTY) Ltd (FSP No. 6650), t/a Capital International SA are licenced by the Financial Sector Conduct Authority in South Africa as Financial Service Providers. Registered Address: Office NG101A, Great Westerford, 240 Main Road, Rondebosch 7700, South Africa. All subsidiary companies across both jurisdictions are represented under the Capital International Group brand.

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