Kennzahlen 30.09.2016 SAST Kennzahlen J. Safra Sarasin Anlagestiftung 30. September 2016. SAST...

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Transcript of Kennzahlen 30.09.2016 SAST Kennzahlen J. Safra Sarasin Anlagestiftung 30. September 2016. SAST...

  • Kennzahlen J. Safra Sarasin Anlagestiftung

    30. September 2016

  • SAST BVG-Ertrag Tranche A (in CHF) Benchmark: Customized BM**

    Valor: 2455689

    ISIN: CH0024556893

    Periods -12 -12 -60 -60 -120 -120 -104 -104

    12 Monate 5 Jahre 10 Jahre 30.04.06 -- 30.09.16

    Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark

    Rendite (kumuliert) 4.1% 4.6% 18.1% 25.6% 24.7% 43.0% 26.7% 47.2%

    Rendite p.a. 4.1% 4.6% 3.4% 4.7% 2.2% 3.6% 2.3% 3.8%

    Risiko p.a. 2.9% 3.0% 2.5% 2.5% 0.03 0.03 3.1% 3.1%

    Sharpe Ratio 1.67 1.47 0.56 0.57

    Tracking Error p.a. (ex-post) 0.9% 0.8% 0.01 0.8%

    Tracking Error p.a. (ex-ante)* 1.6%

    Information Ratio -0.51 -1.69 -1.80 -1.90

    Beta 0.94 0.93 0.94 0.95

    Jensen-Alpha -0.1% -1.0% -1.2% -1.3%

    Max. Drawdown -1.8% -1.7% -2.2% -2.3% -0.09 -0.06 -9.0% -6.0%

    Erholungszeit (in Monaten) 7 6 7 7 34.00 21.00 34 21

    Modified Duration* 8.42 7.96

    Risikoloser Zinssatz p.a. in CHF -0.75% -0.24% 0.51% 0.55%

    TER KGAST 0.81%

    * as of 30.09.2016

    Quelle: Datastream, J. Safra Sarasin, Bloomberg, Monatliche Renditen netto, Risk ratios 04.2006 - 09.2016 p.a.

    ** Zusammensetzung Benchmark: 1% MSCI Emerging Markets (NR), 2% MSCI World (NR), 2% MSCI World ex Switzerland (NR), 68% Swiss Bondindex

    Domestic AAA-BBB (TR), 10% Swiss Bondindex Foreign AAA-BBB (TR), 7% Swiss Performance Index (TR), 7% KGAST Immo, 3% SWISS SPI EXTRA TR

  • SAST BVG-Rendite Tranche A (in CHF) Benchmark: Customized BM**

    Valor: 1016859

    ISIN: CH0010168596

    Periods -12 -12 -60 -60 -120 -120 -180 -180

    12 Monate 5 Jahre 10 Jahre 31.12.99 -- 30.09.16

    Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark

    Rendite (kumuliert) 4.8% 5.2% 22.7% 30.7% 25.7% 40.1% 48.2% 76.0%

    Rendite p.a. 4.8% 5.2% 4.2% 5.5% 2.3% 3.4% 2.4% 3.4%

    Risiko p.a. 3.7% 3.4% 3.3% 3.1% 3.9% 4.0% 4.1% 3.8%

    Sharpe Ratio 1.50 1.33 0.46 0.36

    Tracking Error p.a. (ex-post) 1.0% 1.1% 1.0% 1.3%

    Tracking Error p.a. (ex-ante)* 1.5%

    Information Ratio -0.32 -1.24 -1.12 -0.79

    Beta 1.05 1.01 0.96 1.01

    Jensen-Alpha -0.7% -1.4% -1.0% -1.1%

    Max. Drawdown -2.6% -1.8% -2.9% -2.2% -12.7% -10.8% -12.7% -10.8%

    Erholungszeit (in Monaten) 8 6 4 6 36 32 36 32

    Modified Duration* 8.24 7.76

    Risikoloser Zinssatz p.a. in CHF -0.75% -0.24% 0.51% 0.89%

    TER KGAST 0.89%

    * as of 30.09.2016

    Quelle: Datastream, J. Safra Sarasin, Bloomberg, Monatliche Renditen netto, Risk ratios 12.1999 - 09.2016 p.a.

    ** Zusammensetzung Benchmark: 7% Citigroup WGBI ex Switzerland (TR), 2% MSCI Emerging Markets (NR), 4% MSCI World (NR), 4% MSCI World ex

    Switzerland (NR), 49% Swiss Bondindex Domestic AAA-BBB (TR), 12% Swiss Bondindex Foreign AAA-BBB (TR), 12% Swiss Performance Index (TR), 7%

    KGAST Immo, 3% SWISS SPI EXTRA TR

  • SAST BVG-Wachstum Tranche A (in CHF) Benchmark: Customized BM**

    Valor: 287401

    ISIN: CH0002874011

    Periods -12 -12 -60 -60 -120 -120 -278 -278

    12 Monate 5 Jahre 10 Jahre 31.10.91 -- 30.09.16

    Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark

    Rendite (kumuliert) 5.1% 5.6% 26.1% 36.5% 23.6% 39.6% 188.3% 306.1%

    Rendite p.a. 5.1% 5.6% 4.7% 6.4% 2.1% 3.4% 4.3% 5.8%

    Risiko p.a. 4.9% 4.3% 4.3% 3.9% 5.2% 5.1% 5.8% 5.8%

    Sharpe Ratio 1.20 1.15 0.31 0.45

    Tracking Error p.a. (ex-post) 1.1% 1.2% 1.1% 1.7%

    Tracking Error p.a. (ex-ante)* 1.7%

    Information Ratio -0.44 -1.40 -1.16 -0.88

    Beta 1.11 1.07 1.00 0.96

    Jensen-Alpha -1.2% -2.1% -1.2% -1.3%

    Max. Drawdown -4.0% -2.9% -4.1% -2.9% -19.0% -17.4% -19.0% -17.4%

    Erholungszeit (in Monaten) 9 8 4 8 62 36 62 36

    Modified Duration* 8.01 7.78

    Risikoloser Zinssatz p.a. in CHF -0.75% -0.24% 0.51% 1.74%

    TER KGAST 0.99%

    * as of 30.09.2016

    Quelle: Datastream, J. Safra Sarasin, Bloomberg, Monatliche Renditen netto, Risk ratios 10.1991 - 09.2016 p.a.

    ** Zusammensetzung Benchmark: 5% Citigroup WGBI ex Switzerland (TR), 3% MSCI Emerging Markets (NR), 5% MSCI World (NR), 9% MSCI World ex

    Switzerland (NR), 43% Swiss Bondindex Domestic AAA-BBB (TR), 10% Swiss Bondindex Foreign AAA-BBB (TR), 15% Swiss Performance Index (TR), 7%

    KGAST Immo, 3% SWISS SPI EXTRA TR

  • SAST BVG-Zukunft Tranche A (in CHF) Benchmark: Customized BM**

    Valor: 2455731

    ISIN: CH0024557313

    Periods -12 -12 -60 -60 -120 -120 -104 -104

    12 Monate 5 Jahre 10 Jahre 30.04.06 -- 30.09.16

    Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark

    Rendite (kumuliert) 5.1% 5.6% 30.9% 43.0% 22.6% 39.6% 25.8% 43.9%

    Rendite p.a. 5.1% 5.6% 5.5% 7.4% 2.1% 3.4% 2.2% 3.6%

    Risiko p.a. 6.1% 5.3% 5.3% 4.8% 0.06 0.06 6.4% 6.3%

    Sharpe Ratio 0.96 1.09 0.24 0.26

    Tracking Error p.a. (ex-post) 1.2% 1.3% 0.01 1.2%

    Tracking Error p.a. (ex-ante)* 1.6%

    Information Ratio -0.43 -1.40 -1.07 -1.08

    Beta 1.13 1.08 1.00 1.00

    Jensen-Alpha -1.3% -2.5% -1.3% -1.3%

    Max. Drawdown -5.3% -4.2% -5.4% -4.2% -0.25 -0.24 -25.0% -23.8%

    Erholungszeit (in Monaten)

    not

    recovered 8

    not

    recovered 8 68.00 62.00 68 62

    Modified Duration* 8.34 7.69

    Risikoloser Zinssatz p.a. in CHF -0.75% -0.24% 0.51% 0.55%

    TER KGAST 1.05%

    * as of 30.09.2016

    Quelle: Datastream, J. Safra Sarasin, Bloomberg, Monatliche Renditen netto, Risk ratios 04.2006 - 09.2016 p.a.

    ** Zusammensetzung Benchmark: 3% MSCI Emerging Markets (NR), 5% MSCI World (NR), 14% MSCI World ex Switzerland (NR), 38% Swiss Bondindex

    Domestic AAA-BBB (TR), 10% Swiss Bondindex Foreign AAA-BBB (TR), 20% Swiss Performance Index (TR), 7% KGAST Immo, 3% SWISS SPI EXTRA TR

  • SAST BVG-Nachhaltigkeit Rendite Tranche A (in CHF) Benchmark: Customized BM**

    Valor: 3543791

    ISIN: CH0035437919

    Periods -12 -12 -60 -60 -120 -120 -84 -84

    12 Monate 5 Jahre 10 Jahre 31.12.07 -- 30.09.16

    Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark

    Rendite (kumuliert) 4.8% 5.2% 25.3% 30.7% n/a n/a 27.7% 38.0%

    Rendite p.a. 4.8% 5.2% 4.6% 5.5% n/a n/a 2.8% 3.8%

    Risiko p.a. 3.3% 3.4% 3.2% 3.1% n/a n/a 4.1% 4.1%

    Sharpe Ratio 1.67 1.51 n/a 0.63

    Tracking Error p.a. (ex-post) 0.7% 0.7% n/a 1.0%

    Tracking Error p.a. (ex-ante)* 0.9%

    Information Ratio -0.51 -1.23 n/a -0.92

    Beta 0.96 1.00 n/a 0.97

    Jensen-Alpha -0.1% -0.9% n/a -0.8%

    Max. Drawdown -1.8% -1.8% -2.2% -2.2% n/a n/a -9.8% -9.3%

    Erholungszeit (in Monaten) 6 6 6 6 n/a n/a 21 20

    Modified Duration* 7.88 7.76

    Risikoloser Zinssatz p.a. in CHF -0.75% -0.24% n/a 0.23%

    TER KGAST 0.89%

    * as of 30.09.2016

    Quelle: Datastream, J. Safra Sarasin, Bloomberg, Monatliche Renditen netto, Risk ratios 12.2007 - 09.2016 p.a.

    ** Zusammensetzung Benchmark: 7% Citigroup WGBI ex Switzerland (TR), 2% MSCI Emerging Markets (NR), 8% MSCI World ex Switzerland (NR), 49%

    Swiss Bondindex Domestic AAA-BBB (TR), 12% Swiss Bondindex Foreign AAA-BBB (TR), 12% Swiss Performance Index (TR), 7% KGAST Immo, 3% SWISS SPI

    EXTRA TR

  • SAST BVG-Nachhaltigkeit Tranche A (in CHF) Benchmark: Customized BM**

    Valor: 1016862

    ISIN: CH0010168620

    Periods -12 -12 -60 -60 -120 -120 -168 -168

    12 Monate 5 Jahre 10 Jahre 31.12.00 -- 30.09.16

    Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark

    Rendite (kumuliert) 5.0% 5.9% 31.6% 38.5% 25.5% 37.8% 44.0% 63.4%

    Rendite p.a. 5.0% 5.9% 5.7% 6.7% 2.3% 3.3% 2.3% 3.2%

    Risiko p.a. 4.8% 4.7% 4.5% 4.2% 5.7% 5.5% 5.8% 5.5%

    Sharpe Ratio 1.21 1.32 0.31 0.27

    Tracking Error p.a. (ex-post) 0.7% 0.8% 1.1% 1.4%

    Tracking Error p.a. (ex-ante)* 1.2%

    Information Ratio -1.22 -1.30 -0.85 -0.60

    Beta 1.00 1.05 1.01 1.02

    Jensen-Alpha -0.9% -1.4% -1.0% -0.9%

    Max. Drawdown -3.6% -3.3% -3.8% -3.3% -20.3% -19.4% -20.3% -19.4%

    Erholungszeit (in Monaten) 9 8 6 8 64 52 64 52

    Modified Duration* 7.90 7.75

    Risikoloser Zinssatz p.a. in CHF -0.75% -0.24% 0.51% 0.75%

    TER KGAST 1.01%

    * as of 30.09.2016

    Quelle: Datastream, J. Safra Sarasin, Bloomberg, Monatliche Renditen netto, Risk ratios 12.2000 - 09.2016 p.a.

    ** Zusammensetzung Benchmark: 5% Citigroup WGBI ex Switzerland (TR), 3% MSCI Emerging Markets (NR), 18% MSCI World ex Switzerland (NR), 40%

    Swiss Bondindex Domestic AAA-BBB (TR), 10% Swiss Bondindex Foreign AAA-BBB (TR), 14% Swiss Performance Index (TR), 7% KGAST Immo, 3% SWISS SPI

    EXTRA TR

  • SAST CHF-Obligationen DynHedge (in CHF) Benchmark: SBI Domestic AAA-BBB TR**

    Valor: 343096

    ISIN: CH0003430961

    Periods -12 -12 -60 -60 -120 -120 -228 -228

    12 Monate 5 Jahre 10 Jahre 31.12.95 -- 30.09.16

    Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark

    Rendite (kumuliert) 3.0% 4.2% 9.8% 16.9% 31.0% 43.9% 74.9% 113.3%

    Rendite p.a. 3.0% 4.2% 1.9% 3.2% 2.7% 3.7% 2.7% 3.7%

    Risiko p.a. 3.5% 4.0% 2.7% 3.0% 2.5% 2.9% 2.4% 2.8%

    Sharpe Ratio 1.07 0.79 0.87 0.70

    Tracking Error p.a. (ex-post) 1.0% 1.2% 1.3% 1.5%

    Tracking Error p.a. (ex-ante)* 0.2%

    Information