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




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%



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



TER KGAST 0.89%

* as of 30.09.2016


** 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




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




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%




TER KGAST 0.99%

* as of 30.09.2016


** 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




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%



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



TER KGAST 1.05%

* as of 30.09.2016


** 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



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%


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


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

TER KGAST 0.89%

* as of 30.09.2016


** 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




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




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%




TER KGAST 1.01%

* as of 30.09.2016


** 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




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




Beta 0.85 0.83 0.77 0.71

Jensen-Alpha -0.5% -0.7% -0.2% -0.2%

Max. Drawdown -1.8% -1.8% -3.0% -2.9% -3.0% -2.9% -3.2% -5.7%




TER KGAST 0.46%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% SBI Dom AAA-BBB TR

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

Valor: 978277

ISIN: CH0009782779

Periods -12 -12 -60 -60 -120 -120 -192 -192




Rendite p.a. 3.9% 4.2% 2.8% 3.2% 3.2% 3.7% 3.1% 3.6%

Risiko p.a. 4.0% 4.0% 2.9% 3.0% 3.0% 3.1% 2.8% 3.0%

Sharpe Ratio 1.17 1.03 0.89 0.77




Beta 0.99 0.97 0.95 0.94

Jensen-Alpha -0.3% -0.3% -0.4% -0.4%

Max. Drawdown -1.9% -1.8% -3.0% -2.9% -3.8% -3.7% -5.3% -4.6%




TER KGAST 0.44%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% SBI Dom AAA-BBB TR

SAST CHF-Obligationen Ausland (in CHF)Benchmark: SBI Foreign AAA-BBB TR**

Valor: 1474338

ISIN: CH0014743386

Periods -12 -12 -60 -60 -120 -120 -146 -146




Rendite p.a. 2.4% 2.5% 2.4% 2.8% 2.3% 2.9% 2.4% 2.8%

Risiko p.a. 2.2% 2.1% 1.9% 2.0% 3.1% 2.9% 2.9% 2.8%

Sharpe Ratio 1.46 1.42 0.57 0.65




Beta 1.03 0.94 1.02 1.02

Jensen-Alpha -0.1% -0.2% -0.7% -0.4%

Max. Drawdown -1.3% -1.2% -1.6% -1.6% -8.0% -4.9% -8.0% -4.9%




TER KGAST 0.44%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% SBI For AAA-BBB TR

SAST Nachhaltig CHF Obligationen (in CHF)Benchmark: SBI AAA-BBB TR**

Valor: 1474340

ISIN: CH0014743402

Periods -12 -12 -60 -60 -120 -120 -146 -146




Rendite p.a. 2.9% 3.6% 2.6% 3.1% 3.0% 3.4% 2.8% 3.2%

Risiko p.a. 3.4% 3.3% 2.5% 2.5% 2.6% 2.8% 2.6% 2.8%

Sharpe Ratio 1.06 1.13 0.94 0.87




Beta 1.03 0.98 0.90 0.92

Jensen-Alpha -0.9% -0.5% -0.1% -0.2%

Max. Drawdown -1.8% -1.6% -2.2% -2.2% -3.8% -3.7% -4.2% -3.7%




TER KGAST 0.55%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% SBI AAA-BBB TR

SAST Nachhaltig Obligationen International ex CHF (in CHF)Benchmark: WGBI non SF TR**

Valor: 978280

ISIN: CH0009782803

Periods -12 -12 -60 -60 -120 -120 -192 -192




Rendite p.a. 8.3% 8.9% 1.5% 2.1% 0.8% 1.4% 1.5% 1.7%

Risiko p.a. 5.7% 5.5% 7.3% 7.7% 8.5% 8.9% 7.7% 7.8%

Sharpe Ratio 1.60 0.24 0.03 0.11




Beta 1.02 0.94 0.94 0.96

Jensen-Alpha -0.8% -0.4% -0.6% -0.2%

Max. Drawdown -2.0% -1.7% -12.1% -12.3% -20.1% -21.6% -20.1% -21.6%

Erholungszeit (in Monaten) 2 2 47 46

not

recovered 73

not

recovered 73



TER KGAST 0.65%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% Citigroup WGBI ex Switzerland (TR)

SAST Aktien Schweiz (in CHF)Benchmark: SPI TR**

Valor: 656054

ISIN: CH0006560541

Periods -12 -12 -60 -60 -120 -120 -210 -210




Rendite p.a. 4.8% 2.3% 11.3% 12.2% 2.3% 3.1% 3.3% 4.9%

Risiko p.a. 12.0% 11.0% 11.7% 11.0% 13.7% 13.4% 15.5% 15.2%

Sharpe Ratio 0.47 0.99 0.13 0.15



Information Ratio 0.78 -0.26 -0.29 -0.55

Beta 1.04 1.02 1.00 1.01

Jensen-Alpha 2.3% -1.1% -0.8% -1.7%

Max. Drawdown -11.5% -10.7% -13.3% -13.7% -51.2% -48.8% -53.8% -49.3%


not

recovered

not

recovered

not

recovered

not

recovered 77 77 98 64

Modified Duration* 0.00


TER KGAST 0.88%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% SPI TR

SAST Aktien International ex Schweiz (in CHF)Benchmark: MSCI WORLD ex CH NR**

Valor: 18947376

ISIN: CH0189473769

Periods -12 -12 -60 -60 -120 -120 -29 -29



Rendite (kumuliert) 5.7% 10.9% n/a n/a n/a n/a 17.6% 49.5%

Rendite p.a. 5.7% 10.9% n/a n/a n/a n/a 4.0% 10.1%

Risiko p.a. 15.3% 14.2% n/a n/a n/a n/a 12.3% 11.7%

Sharpe Ratio 0.42 n/a n/a 0.35

Tracking Error p.a. (ex-post) 2.3% n/a n/a 2.4%


Information Ratio -2.25 n/a n/a -2.59

Beta 1.07 n/a n/a 1.04

Jensen-Alpha -6.1% n/a n/a -6.6%

Max. Drawdown -13.7% -11.2% n/a n/a n/a n/a -13.7% -11.2%


not

recovered

not

recovered n/a n/a n/a n/a

not

recovered

not

recovered


Risikoloser Zinssatz p.a. in CHF -0.75% n/a n/a -0.30%

TER KGAST 0.78%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% MSCI World ex CH NR

SAST Aktien GlobalThematic (in CHF)Benchmark: MSCI WORLD NR**

Valor: 4241685

ISIN: CH0042416856

Periods -12 -12 -60 -60 -120 -120 -78 -78



Rendite (kumuliert) 2.6% 10.5% 52.9% 85.0% n/a n/a 4.8% 34.5%

Rendite p.a. 2.6% 10.5% 8.9% 13.1% n/a n/a 0.6% 3.7%

Risiko p.a. 15.9% 14.1% 11.7% 11.2% n/a n/a 15.2% 15.3%

Sharpe Ratio 0.21 0.78 n/a 0.04




Beta 1.13 1.02 n/a 0.98

Jensen-Alpha -9.3% -4.6% n/a -3.1%

Max. Drawdown -15.5% -11.2% -15.5% -11.2% n/a n/a -39.3% -40.1%


not

recovered

not

recovered

not

recovered

not

recovered n/a n/a 66 55

Modified Duration*

Risikoloser Zinssatz p.a. in CHF -0.75% -0.24% n/a 0.03%

TER KGAST 1.05%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% MSCI World NR

SAST Nachhaltig Aktien Schweiz (in CHF)Benchmark: SPI TR**

Valor: 1474343

ISIN: CH0014743436

Periods -12 -12 -60 -60 -120 -120 -146 -146




Rendite p.a. 6.3% 2.3% 13.2% 12.2% 3.5% 3.1% 7.3% 7.0%

Risiko p.a. 9.6% 11.0% 10.5% 11.0% 13.1% 13.4% 12.8% 13.2%

Sharpe Ratio 0.74 1.29 0.23 0.53



Information Ratio 2.00 0.55 0.24 0.13

Beta 0.86 0.93 0.97 0.96

Jensen-Alpha 4.4% 1.9% 0.6% 0.5%

Max. Drawdown -8.3% -10.7% -10.5% -13.7% -49.1% -48.8% -49.1% -48.8%


not

recovered

not

recovered

not

recovered

not

recovered 77 77 77 77



TER KGAST 0.77%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% SPI TR

SAST Nachhaltig Aktien Schweiz Small & Mid Caps (in CHF)Benchmark: SPI TR**

Valor: 276010516

ISIN: CH0276010516

Periods -12 -12 -60 -60 -120 -120 -146 -146

12 Monate 5 Jahre 10 Jahre 30.09.15 - 30.09.16


Rendite (kumuliert) 34.3% 19.8% n/a n/a n/a n/a 34.3% 19.8%

Rendite p.a. 34.3% 19.8% n/a n/a n/a n/a 34.3% 19.8%

Risiko p.a. 0.10 0.10 n/a n/a n/a n/a 10.4% 10.4%

Sharpe Ratio 3.37 n/a n/a 3.37


Tracking Error p.a. (ex-ante)* 0.03

Information Ratio 4.04 n/a n/a 4.04

Beta 0.93 n/a n/a 0.93

Jensen-Alpha 15.8% n/a n/a 15.8%

Max. Drawdown -0.03 -0.04 n/a n/a n/a n/a -2.8% -3.7%


not

recovered

not

recovered n/a n/a n/a n/a 2 4



TER KGAST 0.96%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% SPI Extra TR

SAST Nachhaltig Aktien International ex Schweiz (in CHF)Benchmark: MSCI World ex CH NR**

Valor: 1474344

ISIN: CH0014743444

Periods -12 -12 -60 -60 -120 -120 -146 -146




Rendite p.a. 6.0% 10.9% 10.1% 13.2% 0.0% 1.8% 2.5% 4.5%

Risiko p.a. 13.7% 14.2% 11.8% 11.3% 16.4% 15.9% 15.6% 15.1%

Sharpe Ratio 0.50 0.87 -0.03 0.12




Beta 0.95 1.03 1.02 1.01

Jensen-Alpha -4.3% -3.5% -1.8% -2.1%

Max. Drawdown -10.8% -11.2% -11.0% -11.2% -52.4% -54.4% -52.4% -54.4%


not

recovered

not

recovered 11

not

recovered

not

recovered 91

not

recovered 91



TER KGAST 0.87%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% MSCI World ex CH NR

SAST Nachhaltig Aktien Global Emerging Markets (in CHF)Benchmark: MSCI EM NR**

Valor: 11979929

ISIN: CH0119799291

Periods -12 -12 -60 -60 -120 -120 -46 -46

12 Monate 5 Jahre 10 Jahre 28.02.11 - 30.09.16


Rendite (kumuliert) 15.4% 15.9% 19.1% 23.9% n/a n/a -9.5% -1.9%

Rendite p.a. 15.4% 15.9% 3.6% 4.4% n/a n/a -1.8% -0.3%

Risiko p.a. 16.6% 15.2% 13.5% 14.0% n/a n/a 13.9% 14.3%

Sharpe Ratio 0.97 0.28 n/a -0.11




Beta 1.03 0.92 n/a 0.92

Jensen-Alpha -0.9% -0.4% n/a -1.4%

Max. Drawdown -12.4% -11.6% -0.27 -0.24 n/a n/a -26.8% -24.0%

Erholungszeit (in Monaten) 8 8

not

recovered

not

recovered n/a n/a

not

recovered 41

Modified Duration*

Risikoloser Zinssatz p.a. in CHF -0.75% -0.24% n/a -0.20%

TER KGAST 1.42%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% MSCI EM NR

SAST Rohstoffe ex Agrar / Lebendvieh (in CHF)Benchmark: Bloomberg Commodity ex Agri**

Valor: 23181215

ISIN: CH0231812154

Periods -12 -12 -60 -60 -120 -120 -9 -9



Rendite (kumuliert) 8.4% -3.9% n/a n/a n/a n/a -29.3% -39.6%

Rendite p.a. 8.4% -3.9% n/a n/a n/a n/a -13.0% -18.3%

Risiko p.a. 18.3% 18.2% n/a n/a n/a n/a 15.6% 17.8%

Sharpe Ratio 0.50 n/a n/a -0.80


Tracking Error p.a. (ex-ante)* n/a

Information Ratio 0.91 n/a n/a 0.49

Beta 0.74 n/a n/a 0.70

Jensen-Alpha 11.5% n/a n/a -0.1%

Max. Drawdown -9.8% -18.2% n/a n/a n/a n/a -42.6% -51.1%

Erholungszeit (in Monaten) 6

not

recovered n/a n/a n/a n/a

not

recovered

not

recovered

Modified Duration*


TER KGAST 1.15%

* as of 30.09.2016


** Zusammensetzung Benchmark: 100% Bloomberg Ex Agri & Liv ER

E-Mail: [email protected]/sast

J. Safra Sarasin Anlagestiftung

Herr Hanspeter Kämpf, Geschäftsführer

Elisabethenstrasse 62, Postfach

CH-4002 Basel

Telefon +41(0)58 317 49 10

Telefax +41(0)58 317 48 96

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

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