comparto aequitas

FPA PensPlan Plurifonds, AequITAS
Executive Summary
Data Report
31/12/2016
Benchmark
30% MSCI World TR (convertito in Euro); 70% JP Morgan Global Govt Bond EMU IG
Patrimonio
(alla data)
P&L
di Periodo:
€ 65.838.262,86
MISURE DI RISCHIO (ex ante):
AequITAS
Benchmark
VaR:
2,15%
2,50%
Volatilità annualizzata:
4,54%
5,32%
Risk Parameters
Percentile:
95%
Expected Shortfall
3,01%
3,57%
Orizzonte temporale:
1 mese
Potential Gain
Duration (al 31/12/2016):
2,15%
6,42
2,67%
7,42
Periodo:
730 giorni
Rendimenti Netti
Mensile
6 mesi
YTD
Medio Annuo
AequITAS
1,11%
1,13%
2,45%
4,40%
Benchmark *
1,10%
1,18%
3,88%
3,55%
105,0
103,8
102,5
101,3
100,0
98,8
97,5
96,3
95,0
93,8
AequITAS
Bmk
*Il calcolo del rendimento del benchmark avviene ribilanciando mensilmente le componenti ed applicando le commissioni di 1,05% e gli oneri fiscali. Il rendimento della Linea è al netto di oneri fiscali
e commissioni. I rendimenti passati non sono necessariamente indicativi di quelli futuri.
Trackrecord
AequITAS
Benchmark
Rend. Medio Annuo
4,40 %
3,55 %
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016 ytd
0,72 %
-1,10 %
-1,63 %
-8,77 %
9,46 %
9,11 %
5,78 %
4,24 %
-0,66 %
-0,92 %
7,72 %
8,73 %
5,76 %
5,79 %
10,74 %
12,54 %
2,96 %
2,50 %
2,45 %
3,88 %
Limite Minimo
AequITAS
Limite Massimo
0,00%
23,92%
40,00%
Controllo Limiti
INVESTIMENTI AZIONARI
Equity
LIQUIDITA'
23,92%
17,17%
Cash
Future
INVESTIMENTI OBBLIGAZIONARI
0,00%
40,00%
58,90%
Government bond
47,37%
Corporate bond
11,53%
ESPOSIZIONE VALUTARIA
20,00%
17,17%
0,00%
24,77%
100,00%
30,00%
Verifica
Backtest VaR
3%
VaR mensile 95%
-3%
rendimento mensile
Tasso di sforamento del VaR (da giugno 2007):
1,74%
Liquidity Risk
Variazione (in Euro)
Variaz. (%) su esposizione di
portafoglio
Contributo (in %)
"Normali"
Rischio Specifico
Bid/Ask
Prezzo
Nominale
Market Cap
% Posseduta
€ 101.245,94
0
91121,91
8.822,4900
1.293,9800
7,5600
0,15 %
0,14 %
0,01 %
0,00 %
0,00 %
1,0000
90,00%
8,71%
1,28%
0,01%
"Stressate"
Rischio Specifico
Bid/Ask
Prezzo
Nominale
Market Cap
% Posseduta
€ 170.388,25
159.690,4700
8.822,49
1.851,58
23,71
0,26 %
0,24 %
0,01 %
0,00 %
0,00 %
100,00%
93,72%
5,18%
1,09%
0,01%
"Altamente Stressate"
Rischio Specifico
Bid/Ask
Prezzo
Nominale
Market Cap
% Posseduta
€ 317.723,48
306.062,35
8.822,49
2.803,0700
35,5700
0,49 %
0,46 %
0,01 %
0,00 %
0,01 %
100,00%
96,33%
2,78%
0,88%
0,01%
Liquidity Scenario / Condizioni di
mercato
dic-16
set-16
giu-16
dic-15
mar-16
set-15
giu-15
mar-15
dic-14
set-14
giu-14
mar-14
dic-13
set-13
giu-13
dic-12
mar-13
set-12
giu-12
dic-11
mar-12
set-11
giu-11
dic-10
mar-11
set-10
3%
giu-10
-3%
mar-10
2%
dic-09
1%
-2%
set-09
-1%
giu-09
0%
mar-09
0%
dic-08
-1%
set-08
1%
giu-08
-2%
mar-08
2%
1
FPA PensPlan Plurifonds, AequITAS - Value at Risk
Data: dic 30 2016
Percentile: 95
Orizzonte: 1 Mese
Currency: Euro
VAR MAPPA DI CALORE
INDICATORI CHIAVE
% VaR
6,65
%
Market Value
Euro
100,00
65.838.263
VaR
2,15
1.417.573
Expected Shortfall
3,01
1.984.507
Volatilita' Attesa
1,31
860.033
Potential Gain
2,15
1.416.719
Expected Upside
2,91
1.918.720
Grado di Diversificazione
45
1,54
DISTRIBUZIONE ATTESA
Expected Shortfall
Rendimenti Negativi
Rendimenti Positivi
© PensPlan Invest SGR S.p.A. 2016. Disclaimer: Whilst we endeavour to ensure that the information on this report is correct, we do not warrant its completeness or accuracy. To the maximum extent permitted by applicable law we exclude all
representations, warranties and conditions relating to this report and the use of this report(including, without limitation, any warranties implied by law of satisfactory quality, fitness for purpose and/or the use of reasonable care and skill).
Expected Upside
2
FPA PensPlan Plurifonds, AequITAS - Value at Risk
Data: dic 30 2016
Percentile: 95
Orizzonte: 1 Mese
Currency: Euro
10 Maggiori Contributori al VaR
Titolo
Risk Weight
Contribuzione al VaR %
VaR %
Volatilita' Attesa %
Fondo Etica Azionario Classe I
5,35
14,27
6,84
3,97
Market Value
3.503.408
Cash-usd
6,40
7,40
4,19
2,88
4.191.970
Juniper Networks
0,75
2,13
12,53
8,59
490.616
Intel Corp
0,70
2,07
11,18
7,09
457.633
Thomson Reuters Corp
0,66
2,03
8,37
5,35
431.944
Delta Air Lines
0,46
1,87
15,31
9,05
303.325
CRH
0,47
1,83
13,29
8,73
306.482
Whirlpool Corp
0,40
1,82
13,59
8,40
258.661
Becton Dickinson
0,67
1,80
8,90
5,90
439.750
Obligacion Estado 2013 5.15% 3
1,90
1,80
3,02
1,80
1.253.436
Risk Weight
Contribuzione al VaR %
VaR %
Volatilita' Attesa %
0,06
-0,02
4,36
3,18
Bundesrepub.Dtl. An 2000 5 1/2
0,77
0,00
3,02
1,81
521.670
Cash-eur
10,07
0,00
0,00
0,00
6.587.519
Cash-gbp
0,00
0,00
4,83
3,03
1.794
Mirvac Group
0,22
0,00
11,81
6,81
143.304
Heineken 2015 1 1/4% 10/09/21
0,16
0,01
0,82
0,54
104.614
Atlas Copco 2013 2 1/2% 28/02/
0,34
0,01
1,29
0,82
228.654
Snam Spa 2015 1 3/8% 19/11/23
0,16
0,02
1,57
0,98
103.648
A2a Spa 2013 4 3/8% 10/01/21 S
0,21
0,02
0,63
0,44
144.163
Toyota Mtr Cr Corp 2015 1% 09/
0,40
0,02
0,70
0,45
261.009
10 Minori Contributori al VaR
Titolo
Cash-jpy
© PensPlan Invest SGR S.p.A. 2016. Disclaimer: Whilst we endeavour to ensure that the information on this report is correct, we do not warrant its completeness or accuracy. To the maximum extent permitted by applicable law we exclude all
representations, warranties and conditions relating to this report and the use of this report(including, without limitation, any warranties implied by law of satisfactory quality, fitness for purpose and/or the use of reasonable care and skill).
Market Value
41.472
3
FPA PensPlan Plurifonds, AequITAS - Value at Risk
Data: dic 30 2016
Percentile: 95
Orizzonte: 1 Mese
Currency: Euro
10 Maggiori VaR
Titolo
Risk Weight
Contribuzione al VaR %
VaR %
Volatilita' Attesa %
Bovis Homes Group Plc
0,14
0,67
17,18
11,62
Market Value
Casio Computer Co
0,13
0,23
16,12
10,63
83.052
Biogen
0,45
1,64
15,99
11,16
295.928
Disco Corp.
0,44
1,50
15,96
9,85
286.872
Delta Air Lines
0,46
1,87
15,31
9,05
303.325
Qantas Airways
0,24
0,38
15,28
9,85
159.929
Olympus Corp
0,24
0,50
14,89
9,19
153.874
Bellway Plc
0,24
1,10
14,73
11,00
159.055
Buzzi Unicem Spa
0,28
1,52
14,48
9,89
184.582
Shire
0,48
1,75
14,12
9,26
311.836
91.943
10 Assets A Più Elevata Exposure
Titolo
Risk Weight
Contribuzione al VaR %
VaR %
Volatilita' Attesa %
Cash-eur
10,07
0,00
0,00
0,00
6.587.519
Cash-usd
6,40
7,40
4,19
2,88
4.191.970
Fondo Etica Azionario Classe I
5,35
14,27
6,84
3,97
3.503.408
Bundesrepub.Dtl. An 1997 6 1/2
2,52
0,05
2,14
1,28
1.682.115
Nederland 1998 5 1/2% 15/01/28
2,36
0,27
2,33
1,37
1.597.346
Nederland 2015 1/4% 15/07/25
2,31
0,15
2,01
1,23
1.509.836
Obligacion Estado 2014 2 3/4%
2,24
1,30
1,88
1,08
1.468.995
Belgium 4.5000% BGB Mar 2026
2,10
0,46
1,65
0,99
1.406.974
Btp Italy 2013 3 1/2% 01/12/18
1,96
0,17
0,30
0,17
1.286.706
France 3.5000% FRTR Apr 2026
1,94
0,51
1,71
1,05
1.291.473
© PensPlan Invest SGR S.p.A. 2016. Disclaimer: Whilst we endeavour to ensure that the information on this report is correct, we do not warrant its completeness or accuracy. To the maximum extent permitted by applicable law we exclude all
representations, warranties and conditions relating to this report and the use of this report(including, without limitation, any warranties implied by law of satisfactory quality, fitness for purpose and/or the use of reasonable care and skill).
Market Value
8
FPA PensPlan Plurifonds, AequITAS - Value at Risk
Data: dic 30 2016
Percentile: 95
Orizzonte: 1 Mese
Currency: Euro
Stress Testing
All Credit
Sovereign Debt Asian markets
Spreads Up 150
Crisis Apr 16 slowdown May MSCI AC World
bps except
2010 to May 07 08 2008 to Oct
down 10%
AAA Public2010
23 2008
Sovereign
9/11 Terrorist
Attack Sep 10
2001 to Sep 21
2001
Black October
Sep 9 2008 to
Oct 13 2008
Totale
-3,76
-4,83
-0,73
-4,36
-2,10
Corporate Bond
-2,18
-1,66
1,77
0,09
-0,17
Equity
-13,34
-19,87
-3,97
-24,67
-8,58
Government Bond
-0,42
-0,25
-0,80
0,71
-0,05
Cash
-0,70
1,38
2,31
6,93
-0,04
0,00
% Variazione
All Risk Free
Interest Rates
Up 1 bp
Currency USD
+10%
Currency EUR
+10%
Currency GBP
+10%
-5,00
-0,04
1,76
-2,25
0,18
-7,33
-0,05
2,50
-2,27
0,00
0,00
0,00
3,51
-5,59
0,74
-8,78
-0,07
0,00
0,00
0,00
0,00
3,71
-3,79
0,00
© PensPlan Invest SGR S.p.A. 2016. Disclaimer: Whilst we endeavour to ensure that the information on this report is correct, we do not warrant its completeness or accuracy. To the maximum extent permitted by applicable law we exclude all
representations, warranties and conditions relating to this report and the use of this report(including, without limitation, any warranties implied by law of satisfactory quality, fitness for purpose and/or the use of reasonable care and skill).