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Investment Strategy

Investment Strategy (strategic asset allocation, SAA)

The investment strategy defines the long-term distribution of the occupational benefits assets into various investment categories. The investment strategy is dependent on the financial and structural risk carrying capacity of the Substitute Occupational Benefit Institution and the statutory and regulatory obligations. The risk carrying capacity determines the risk budget, i.e. the proportion of higher-risk investments.

The Substitute Occupational Benefit Institution runs its business in multiple business areas, which vary in their risk carrying capacity and obligations. The Substitute Occupational Benefit Institution has therefore defined a separate investment strategy for each business area.

SAA LOB: static investment strategy

The risk profile of the LOB business area permits an investment strategy that takes equal account of the goals of yield, safety and liquidity. A static investment strategy is run with a risk budget of 20%.

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Investment Categories

Lower Bandwidth

SAA

Upper Bandwidth

CHF Money Market   

0%

1%

10%

Swiss Bonds

41%

46%

51%

Global Bonds

18%

20%

22%

Swiss Equities

4%

5%

6%

Global Equities

10%

12%

14%

Emerging Markets Equities

1%

2%

3%

Swiss Real Estate

6%

10%

12%

Global Real Estate

1%

2%

3%

Commodities

1%

2%

3%

SAA FZK: dynamic investment strategy

The risk profile of the vested benefits accounts business area requires an investment strategy in which the focus is on safety – a dynamic investment strategy has been chosen: it is modified systematically according to the financial situation.

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Risk budget 10%
Investment Categories

Lower Bandwidth

SAA

Upper Bandwidth

CHF Money Market

32.5%

47.5%

65%

Swiss Bonds

12%

14%

16%

Global Bonds

12.5%

14.5%

16.5%

Swiss Equities

3%

4%

5%

Global Equities

5%

10%

13%

Emerging Markets Equities

1%

2%

3%

Swiss Real Estate

2%

7%

10%

Global Real Estate

0%

0%

2%

Commodities

0%

1%

1.5%

SAA ALV: dynamic investment strategy

The risk profile of the risk insurance for the unemployed business area requires an investment strategy in which the focus is on safety – a dynamic investment strategy has been chosen: it is modified systematically according to the financial situation measured by the level of cover. When the level of cover is less than 105%, the risk budget is 10%; at cover of over 120% the risk budget is 25%.

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Risk budget 25%
Investment Categories

Lower Bandwidth

SAA

Upper Bandwidth

CHF Money Market

16%

20%

24%

Swiss Bonds

25%

29%

33%

Global Bonds

15%

17%

19%

Swiss Equities

4.5%

5.5%

6.5%

Global Equities

12%

14.5%

17%

Emerging Markets Equities

2%

3%

4%

Swiss Real Estate

2%

7%

10%

Global Real Estate

0%

2%

3%

Commodities

1%

2%

3%

BENCHMARK of Investment Categories

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Investment Categories

Benchmark

CHF Money Market

Citigroup CHF 3 Mt. Eurodeposit

Swiss Bonds

SBI Domestic AAA - AA TR

Global Bonds

67% Barclays GL Treasury Bond Index (unhedged)

33% Barclays GL Aggr. Corporate Bond Index (unhedged)

Swiss Equities

SPI (TR)

Global Equities

MSCI World IMI ex CH (net dividends reinvested, unhedged)

Emerging Markets Equities

MSCI EM Free (DTR net)

Swiss Real Estate

25% KGAST Real Estate Index

75% SXI Swiss Real Estate Funds (TR)

Global Real Estate

Portfolioperformance

Commodities

Bloomberg Commodity ex-Agriculture and Livestock TR Index (unhedged)


Performance

Perf. %

 Cover %*

FZK

   2.68

   107.13

LOB

   4.34

   113.36

ALV

   4.17

   186.13

Total

   3.00

   110.62

Status 31.03.2019 (YTD)

*Estimated Cover


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Stiftung
Auffangeinrichtung BVG
Postfach
8050 Zürich

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