+60% +50%
NAVIGATOR MSCI WORLD AVERAGE Global Equity Funds
+40%
NAVIGATOR FUND
VECTOR FUND
WWW.VECTOR.LU
WWW.VECTOR.LU
+30% +20%
Navigator - Noble House - CP1
Report 2005/03 1. Last month 2. Track Record 3. Trade List & Holdings 4. Sector- & Regional Allocation
+10% +0%
+5%
-10%
AUGUST 2008 REPORT ____________________________________
1. Return Distribution of last months' holdings
-20%
2. Comments
-30%
-33%
3. Track-record in absolute terms
-40%
4. Track-record in relative terms -50% 2001
2002
2003
2004
2005
2006
2007
2008
5. Statistics & Main positions 6. Sector Allocation
+60%
NAVIGATOR / MSCI MSCI / MSCI AVERAGE Global Equity Funds / MSCI
7. Regional Allocation
+50%
+40%
+38% ____________________________________
+30%
Investment Advisor : Vector Conseil Fund Management Company: Vector Asset Management Risk Control: Royal Bank of Scotland Custodian & Admin.: Banque Privée Edmond de Rothschild Eur. Transfer & Paying Agent: Banque Privée Edmond de Rothschild Eur. Auditor: Price Waterhouse Coopers
+20%
Information : call us at 00352 / 24 88 2536 mail us at
[email protected] visit www.vector.lu or www.lcf-rothschild.lu
+10%
+0%
-10% -12%
MORNINGSTAR -20% 2001
STANDARD & POORS 2002
2003
2004
2005
2006
2007
2008
1. RETURN DISTRIBUTION OF LAST MONTH's 100 HOLDINGS (in euro) Individuele prestatie van de 100 aandelen in portefeuille, afgelopen maand (in euro)
-40
-30
-20
-10
+0
+10
+20
+30
+40 < Best Performer
Performance last month's 100 holdings Performance MSCI World Performance Navigator
4.28
-1.44
< MSCI World
Last month : NAVIGATOR compared to : MSCI World Index Average Global Equity Funds KBC Equity World Fortis Equity World ING Invest World DEXIA Equity World ABN AMRO Global Equity
return
relative
- 1.4
return
+ 4.3 + 3.2 + 3.1 + 2.6 + 3.3 + 4.0 + 2.9
- 5.7 - 4.6 - 4.6 - 4.1 - 4.7 - 5.4 - 4.4
return
+ 31.6
relative return
+ 10.8 + 9.3 + 5.5 + 16.0 + 11.0 + 13.4 + 0.7
+ 20.8 + 22.2 + 26.0 + 15.6 + 20.5 + 18.2 + 30.8
< Navigator
Last 60 months : NAVIGATOR compared to : MSCI World Index Average Global Equity Funds KBC Equity World Fortis Equity World ING Invest World DEXIA Equity World ABN AMRO Global Equity
< Worst
2. PERFORMANCE RUNNING QUARTER Koersontwikkeling Navigator, afgelopen 3 maanden 4% 2% 0% -2% -4% -6% -8% -10%
NAVIGATOR versus MSCI
-12%
Average Global Equity Funds (*)
-14%
NAVIGATOR
-16%
MSCI WORLD INDEX
-18% 30-May-08
30-Jun-08
De zomermaanden verlopen dit jaar wel bijzonder grillig. Enkele cijfers: de Amerikaanse dollar schoot sinds half juli 14% hoger, de Japanse Yen 12%, en de Amerikaanse banksector herstelde sindsdien met maar liefst 42% (weliswaar vanop een zeer laag punt). Anderzijds klapte de olieprijs (maar ook die van andere grondstoffen) sinds z’n top met meer dan 30% in mekaar, en kregen de groeimarkten eveneens een klap van meer dan 30% te verwerken. Deze bewegingen waren niet alleen ongemeen hevig, maar ook uitzonderlijk systematisch, in die zin dat het quasi elke dag dezelfde richting uitging. Bij sommige van deze evoluties stellen we ons zeker vragen. Dat bijvoorbeeld de beurzen van olieproducerende landen nu klappen krijgen is perfect normaal, maar het is op z’n minst vreemd dat landen die hun grondstoffen voor het overgrote deel moeten importeren, en zo zijn er vooral in Azië heel wat, totnogtoe niet konden profiteren van de forse prijsdaling van die grondstoffen. Integendeel, de Aziatische beurzen hebben het zeer moeilijk. Dit terwijl Azië zich ook veel minder verbrand heeft aan de kredietcrisis dan Amerika of Europa, en nota bene over gigantische deviezenreserves beschikt. Of nog: het feit dat de Amerikaanse overheid zowel Freddie Mac als Fannie Mae van de ondergang moet redden, en straks misschien hetzelfde mag doen met Lehman Brothers, General Motors en Ford, valt moeilijk af te lezen als een hoopgevend signaal voor de Amerikaanse dollar. Zeker niet op een ogenblik waarop die overheid het budgettair al moeilijk heeft. En toch gaat de munt elke dag hogerop. En tenslotte is het op zich wel normaal dat een defensieve sector zoals farmacie in tijden van een verhoogde risico-aversie beter standhoudt, maar dat het effect zo sterk speelt dat de sector fors stijgt, is op z’n minst uitzonderlijk te noemen. Anderzijds lijkt de afstraffing die de grondstoffensector en de groeimarkten te beurt viel, ons evenzeer overtrokken. We hebben dan ook de indruk dat er grote marktpartijen zijn die hun posities – dikwijls opgebouwd met geleend geld momenteel noodgedwongen moéten afbouwen, tegen eender welke prijs, omdat ze bijvoorbeeld niet langer kunnen rekenen op kredieten van hun bankier. Het bekendste voorbeeld is Ospraie, ooit de grootste grondstoffen-hedge fund manager, die vorige week bekendmaakte z’n grootste fonds na zware verliezen te moeten liquideren. Ook het feit dat de Amerikaanse dollar en de Yen zo fors blijven stijgen terwijl het Britse Pond zwaar onderuitgaat, doet vermoeden dat bepaalde partijen hun carry-trade posities (waarbij ze geld lenen in USD en JPY om in hoogrentende munten zoals het Britse Pond te beleggen) massaal moeten afbouwen. Navigator werkt gelukkig niet met geleend geld. Maar dat neemt niet weg dat het fonds voorlopig sterk te lijden heeft onder deze evolutie, waarbij vooral de aandelen die in het voorjaar relatief goed standhielden, momenteel het sterkst lijden onder de enorme rotatie, zonder veel onderscheid. In augustus was de gemiddelde return (ongewogen) van de 49 grootste aandelenmarkten licht negatief (-1.6% in locale munt, en 0.2% in euro), en ook Navigator eindigde de maand met een negatieve return (-1.4%). Maar als gevolg van het grote gewicht van de Japanse en Amerikaanse beurzen (en vooral munten) in de MSCI-wereldindex, kon deze laatste een winst van 4.3% (in euro) voorleggen – en dit is uiteindelijk de index die we willen kloppen. Dat dat momenteel niet lukt, is te wijten aan onze relatieve overweging van de grondstoffen-sectoren en de groeimarkten, en onze onderweging van de farma-sector, de banken en de Amerikaanse beurs (en dollar). Enerzijds moeten we uit deze moeilijke periode leren, en onze risico-modellen bijschaven om rekening te houden met het feit dat bepaalde correlaties minder “bedrijfszeker” zijn dan aangenomen (bv het feit dat grondstoffen-importerende markten niet altijd garen spinnen bij een grondstoffenprijsdaling), zodat we de regelmaat van de prestaties van het fonds ook in de meest hectische tijden beter op peil kunnen houden. Anderzijds zijn we wel van mening dat de huidige marktomstandigheden toch wel zeer uitzonderlijk zijn, in die zin dat de fundamentele waardering van individuele bedrijven op dit ogenblik van geen tel schijnt te zijn, en we denken dat de markten zullen normaliseren eenmaal de ergste excessen zijn uitgezweet. We blijven hoedanook trouw aan de kern van ons kwantitatief waarderingsmodel, dat op zoek blijft gaan naar aandelen met beter dan gemiddelde karakteristieken op het vlak van groei, risico en waardering.
30-Jul-08
This year’s summer has been volatile indeed. To name just a few facts: since July 15th the USD has jumped 14%, the JPY 12%, and US banks have risen 42% (albeit from a very low starting point). On the other hand, oil prices (and materials prices in general) have come down 30% since their high, and the same is true for emerging markets. These movements have been both incredibly extreme and systematic, in the sense that markets have taken the same direction almost every day. Some of these movements have certainly lifted our eye-brows. For instance: whereas it makes perfect sense that oil-producing nations got hammered, we fail to see why countries that need to import most of their resources – and Asia has plenty of them - did not profit more from the falling price of these resources. On the contrary, most Asian markets are having a tough time. While Asia has been hit far less dramatically by the credit crisis than the US or Europe, and has more than plenty of foreign currency reserves. Also, the fact that the US Treasury has had to come to the rescue of Freddie Mac and Fannie Mae, and may have to step in for Lehman Brothers, General Motors and Ford too, can hardly be seen as promising news for the US Dollar. Not at a time when government finances are already stretched. Yet the USD has been rising every day. Finally, it makes sense for defensive industries, such as pharmaceuticals, to hold up relatively well when riskaversion spikes, but that the impact is so strong that the entire industry - without receiving particularly good news - actually jumps higher, is certainly exceptional. The way in which resource-stocks and emerging markets got hammered seems equally exaggerated. We have the feeling that current market conditions are set by some very large players needing to reduce there leverage at any cost. One well-known example is Ospraie, once the largest resource-hedge fund manager in the world, which said last month it will shut down its largest commodities fund after reporting heavy losses. The opposite movements of USD and JPY on the one hand, and the GBP on the other, also seem to suggest that the unwinding of the carry-trade is at unseen levels. Navigator thankfully has no leverage. But all the same the fund was exposed to current violent market conditions that are, quite indiscriminately, hitting stocks that had been holding up relatively well this spring. In August, the unweighted average return of 49 stock markets was negative (-1.6% in local currency, and -0.2% in euro), and Navigator was also down last month (-1.4%). But as a consequence of the large weight of the Japanese and US markets (and especially currencies) in the MSCI World index, the index ended up 4,3% (in euro) – and this is, after all, our designated benchmark. Our large underperformance was due to our relatively large holdings in Resources and Emerging Markets, and our relatively small holdings in Pharmacy, Banks, and the US (and USD). On the one hand we need to learn from this difficult period, and adjust our risk-models to account for the fact that some correlations are less reliable than presumed (such as the fact that resource importing markets do not always outperform when those resources become less expensive), so as to hold up the consistency of the funds’ performance even in the most violent of times. On the other hand, we do believe that current market conditions are exceptional indeed, so much so that fair valuation principles seem to be thrown overboard right now. But they will return, as they always do, once markets cool down. Consequently we stand by our quantitative valuation process, and continue to search for stocks with better than average growth, risk and valuation properties.
3. TRACK-RECORD (in absolute terms) Track-record (in absolute termen)
+90%
(*)
5 YEAR TRACK RECORD
(all prices are expressed in euro) Price 30-03-01 31-12-01 31-12-02 31-12-03 31-12-04 30-12-05 29-12-06 31-12-07 29-08-08
NAVIGATOR (1)
MSCI WORLD
AVERAGE Global Equity Funds (*)
DEXIA Equity World
KBC Equity World
FORTIS Equity World
ING Invest World
840.86 1200.51 1000.00 50.26 800.42 235.10 188.29 833.04 1127.02 895.02 39.20 725.68 218.43 177.22 576.46 754.97 570.23 24.34 458.85 140.72 116.61 677.07 821.60 601.78 25.84 487.03 151.99 123.59 760.34 860.32 613.34 26.99 497.48 151.29 126.25 992.64 1066.29 766.47 33.33 619.49 193.77 156.26 1110.20 1125.09 799.77 35.47 640.39 205.18 165.36 1117.36 1086.74 792.29 34.72 632.50 208.66 166.07 883.67 913.45 665.73 29.34 521.60 177.69 139.34 (*)= Average of DEXIA Equity World, KBC Equity World, Fortis Equity World, ING Invest World, ABN AMRO Global Equity
Return
NAVIGATOR (1)
MSCI WORLD
AVERAGE Global Equity Funds (*)
DEXIA Equity World
KBC Equity World
FORTIS Equity World
ING Invest World
2001 (3-12) 2002 2003 2004 2005 2006 2007 2008….
-0.9% -30.8% +17.5% +12.3% +30.6% +11.8% +0.64% -20.91%
-6.1% -33.0% +8.8% +4.7% +23.9% +5.5% -3.41% -15.95%
-10.5% -36.3% +5.5% +1.9% +25.0% +4.3% -0.94% -15.97%
-22.0% -37.9% +6.2% +4.4% +23.5% +6.4% -2.1% -15.5%
-9.3% -36.8% +6.1% +2.1% +24.5% +3.4% -1.2% -17.5%
-7.1% -35.6% +8.0% -0.5% +28.1% +5.9% +1.7% -14.8%
-5.9% -34.2% +6.0% +2.2% +23.8% +5.8% +0.4% -16.1%
ABN AMRO Global Equity 57.90 53.17 33.50 33.96 34.41 43.00 43.09 41.60 34.99
NAVIGATOR +80%
MSCI WORLD AVERAGE Global Equity Funds
+70%
+60% ABN AMRO Global Equity -8.2% -37.0% +1.4% +1.3% +25.0% +0.2% -3.5% -15.9%
+30%
+50%
+40%
+31.6%
+30%
+20%
+20% +10%
+0%
+10.8% +9.3%
+10%
-10%
+0% -20%
NAVIGATOR MSCI WORLD AVERAGE Global Equity Funds (*)
-30%
-10%
-40% 2001 (312)
2002
2003
2004
2005
2006
2007
2008….
-20% Aug-03
Aug-04
Aug-05
Aug-06
Aug-07
Aug-08
4. TRACK-RECORD (in relative terms) Track-record (in vergelijking tot wereldindex en andere fondsen)
+40%
(*) (all prices are expressed in euro) Price rescaled to Navigator 30-03-01 31-12-01 31-12-02 31-12-03 31-12-04 30-12-05 29-12-06 31-12-07 29-08-08
NAVIGATOR (1)
MSCI WORLD
AVERAGE Global Equity Funds (*)
DEXIA Equity World
KBC Equity World
FORTIS Equity World
ING Invest World
840.86 840.86 840.86 840.86 840.86 840.86 840.86 833.04 789.39 752.59 655.75 762.34 781.24 791.42 576.46 528.80 479.48 407.20 482.03 503.30 520.75 677.07 575.47 506.01 432.27 511.64 543.61 551.92 760.34 602.59 515.74 451.50 522.61 541.10 563.80 992.64 746.85 644.49 557.55 650.79 693.04 697.82 1110.20 788.04 672.50 593.40 672.74 733.85 738.46 1117.36 761.17 666.21 580.87 664.46 746.29 741.63 883.67 639.80 559.79 490.79 547.95 635.53 622.26 (*)= Average of DEXIA Equity World, KBC Equity World, Fortis Equity World, ING Invest World, ABN AMRO Global Equity
RETURN versus MSCI
NAVIGATOR (1)
MSCI WORLD
AVERAGE Global Equity Funds (*)
DEXIA Equity World
KBC Equity World
FORTIS Equity World
ING Invest World
2001 (3-12) 2002 2003 2004 2005 2006 2007 2008….
+5.2% +2.2% +8.6% +7.6% +6.6% +6.3% +4.1% -4.97%
+0.0% +0.0% +0.0% +0.0% +0.0% +0.0% +0.0% +0.00%
-4.4% -3.3% -3.3% -2.8% +1.0% -1.2% +2.5% -0.03%
-15.9% -4.9% -2.7% -0.3% -0.5% +0.9% +1.3% +0.4%
-3.2% -3.8% -2.7% -2.6% +0.6% -2.1% +2.2% -1.6%
-1.0% -2.6% -0.8% -5.2% +4.1% +0.4% +5.1% +1.1%
+0.2% -1.2% -2.8% -2.6% -0.2% +0.3% +3.8% -0.2%
ABN AMRO Global Equity 840.86 772.17 486.51 493.19 499.72 624.47 625.78 604.14 508.15
ABN AMRO Global Equity -2.0% -4.0% -7.5% -3.4% +1.0% -5.3% -0.0% +0.1%
5 YEAR RELATIVE TRACK RECORD NAVIGATOR versus MSCI WORLD +35%
NAVIGATOR versus Average Global Equity Funds
+30%
+25%
+20.3%
+20%
+18.8%
+15%
+10% +8%
+10%
+6% +4%
+5% +2% +0%
+0%
-2% -4%
µ
NAVIGATOR
-6%
-5%
MSCI WORLD AVERAGE Global Equity Funds (*)
-8% -10% 2001 (312)
2002
2003
2004
2005
2006
2007
2008….
-10% Aug-03
Aug-04
Aug-05
Aug-06
Aug-07
Aug-08
5. Statistics & Top Holdings Statistieken & voornaamste posities
HEDGE FUNDS
NAVIGATOR (1)
MSCI WORLD
Average Global Equity Funds
DEXIA Equity World
KBC Equity World
FORTIS Equity World
ING Invest World
ABN AMRO Global Equity
(JPM Global Govt. Bond Return Index ,euro)
RETURN LAST 60 MONTHS AVERAGE ANNUAL RETURN AVERAGE ANNUAL RETURN, relative to MSCI WORLD
+31.6% +5.6% +3.6%
+10.8% +2.1% +0.0%
+9.3% +1.8% -0.3%
+13.4% +2.5% +0.5%
+5.5% +1.1% -1.0%
+16.0% +3.0% +0.9%
+11.0% +2.1% +0.0%
+0.7% +0.1% -1.9%
+3.0% +0.6% -1.5%
-4.7% -1.0% -3.0%
MONTHLY BASIS: R-SQUARED BETA AVERAGE RETURN ALPHA VOLATILITY TRACKING ERROR
0.75 1.08 +0.46% +0.30% +4.04% +2.03%
1.00 1.00 +0.17% +0.00% +3.25% +0.00%
0.98 1.01 +0.15% -0.02% +3.29% +0.41%
0.99 0.98 +0.21% +0.04% +3.20% +0.23%
0.97 1.05 +0.09% -0.08% +3.48% +0.66%
0.95 1.00 +0.25% +0.08% +3.34% +0.75%
0.95 1.06 +0.17% +0.00% +3.53% +0.83%
0.95 0.94 +0.01% -0.15% +3.13% +0.71%
0.00 0.01 +0.05% +0.06% +1.42% +3.51%
0.52 0.52 -0.08% -0.17% +2.32% +2.24%
ANNUAL BASIS: AVERAGE RETURN ALPHA VOLATILITY TRACKING ERROR SHARPE RATIO (risk free = 3%) TREYNOR RATIO (risk free = 3%) INFORMATION RATIO (=Alpha / Tracking Error)
+5.6% +3.65% 14.0% 7.04% +0.19 +0.02 +0.52
+2.1% +0.00% 11.3% 0.00% -0.08 -0.01 +0.00
+1.8% -0.26% 11.4% 1.40% -0.11 -0.01 -0.19
+2.5% +0.49% 11.1% 0.81% -0.04 -0.00 +0.61
+1.1% -1.01% 12.1% 2.28% -0.16 -0.02 -0.44
+3.0% +0.96% 11.6% 2.59% +0.00 +0.00 +0.37
+2.1% +0.01% 12.2% 2.87% -0.07 -0.01 +0.00
+0.1% -1.77% 10.8% 2.47% -0.26 -0.03 -0.71
+0.6% +0.69% 4.9% 12.17% -0.49 -2.01 +0.06
-1.0% -2.01% 8.0% 7.76% -0.49 -0.08 -0.26
TOP 10 HOLDINGS (in Mcap) EXXON MOBIL MICROSOFT CHINA CON.BANK 'H' CHEVRON NESTLE 'R' BP TOTAL PFIZER TELEFONICA ROCHE HOLDINGS GSH.
US US CH US SW UK FR US ES SW
Oil & Gas Producers Software & Computer Services Banks Oil & Gas Producers Food Producers Oil & Gas Producers Oil & Gas Producers Pharma & Biotech Fixed Line Telecom Pharma & Biotech
BONDS
(CSFBTremont Inv.Index, euro)
TOP 4 OVER/UNDERWEIGHTED SECTORS & MARKETS General Retailers Food Producers Oil & Gas Producers Oil / Equipment & Services
+ + + +
SPAIN CHINA RUSSIA ISRAEL
Travel & Leisure Media Pharma & Biotech Banks
-
UK FRANCE JAPAN US
6. SECTOR ALLOCATION Sector-allocatie
Financials : 16%=>18%
Technology : 6% Utilities : 4%
Telecommunications : 5%
Oil & Gas : 21%=>16% Consumer Services : 7%=>8%
Healthcare : 2%=>5%
Basic Materials : 15%=>13%
Consumer Goods : 8%=>9%
Industrials : 16% ( =>) : change in allocation from last month
7. REGIONAL ALLOCATION Geografische Allocatie
US & Canada : 32%=>35%
Latin-America : 3%
Developed Asia (Australia, Hong Kong, Singapore,…) : 7%
Japan : 6%=>7%
South-Africa : 0%
Developing Europe : 13%=>7%
UK & Ireland : 3%=>6%
Developing Asia : 17%=>14%
Scandinavia : 2%
Southern Europe (France, Italy, Spain…) : 10%
Western Europe (Benelux, Germany, Switzerland,...) : 7%=>9%
This document does not constitute an offer or solicitation in any jurisdiction in which such offer or sollicitation is not authorised. Past performance is not a guarantee of future returns. The value of investments may fall as well as rise. Any decision to invest should be based on a full reading of the fund prospectus and the most recent financial statements, available at www.vector.lu
