Modelportfolio December 2013

Our allocation was kept unchanged in the modelportfolio in December. The modelportfolio generated a positive return of 0.88% in December versus a positive return of 1.23% for the benchmark, a relative performance of 35bp as such.

With 40% allocated to equities in our modelportfolio, the strong global equity markets in (particularly) second half of December had negative impact on our relative return. We lifted our equity exposure significantly (from 20% to 40% weight) in December 2012, which has proved right taken into account that MSCI World generated a positive return of 29.57% in 2013.

As such, our model portfolio generated a solid return of 13.01% in 2013. However, this was 2.26% lower than of our benchmark. The model portfolio obtained negative deviation in the first six months of 2013 and came back in the last six months of 2013 with marginal positive returns relative to benchmark.

Our performance has been generated with a conservative risk measured as standard deviation for model portfolio versus for the benchmark. Model portfolio had a STD of some 3.4% for 2013 versus a yearly STD since start-up (in September 2008) of some 8.3%. The same numbers for the benchmark are 4.5% and 7.6%, respectively.

Our portfolio generated its performance with the lowest tracking error (TE) since inception. TE in 2013 was some 2.8% versus an average of 4.5% since the start of the portfolio in 2008. 

As such, our positive absolute return in 2013 was generated at a low level on risk in an historic context for our modelportfolio.

We keep our modelportfolio unchanged for the time being, but will closely follow indicators mentioned as important for the macro economy in the section above. Additionally, it is important to stress the fact that equity markets has become more expensive (P/B and multiples) and the estimated earnings growth from the companies in 2014 are crucial to keep up the good sentiment. As such, we will track company reports and presentations closely for Q4 reporting starting later this month, in order to make sure that deliveries and guidance are aligned with capital market stakeholders expectations.    

 

InvestmentsPortfolio
Equities  
Alken European Opportunities 10,0%
Fidelity Asian Special Situations 10,0%
SEB Nordic Focus 10,0%
S&P Spyder 5,0%
East Capital Russland 5,0%
Sum Equities 40,0%
   
Fixed Income  
Norwegian High Yield Bonds 25,0%
Ashmore Emerging Market Debt 10,0%
Bluebay High Yield Fund 10,0%
Muzinich Short Duration High Yield 10,0%
Bluebay Investment Grade Fund 5,0%
Sum Fixed Income 60,0%

 

Performance200820092010201120122013
SEB Modelportfolio -6,73%  26,55% 6,45% 0,17% 12,00% 13,01%
Benchmark -12,77% 11,92% 6,01% -1,06%  8,23% 15,27%
Outperformance 6,04% 14,63% 0,44% 1,23% 3,77% -2,26%
MSCI World -30,06% 26,51% 10,57% -4,96% 16,42% 29,57%