{"id":3197,"date":"2022-08-17T12:36:38","date_gmt":"2022-08-17T10:36:38","guid":{"rendered":"https:\/\/monocle.lu\/?p=3197"},"modified":"2022-08-19T11:21:48","modified_gmt":"2022-08-19T09:21:48","slug":"volatilite-et-strategie-de-la-reserve","status":"publish","type":"post","link":"https:\/\/monocle.lu\/en\/2022\/08\/17\/volatilite-et-strategie-de-la-reserve\/","title":{"rendered":"Volatility and reserve strategy"},"content":{"rendered":"

Hello,
<\/p>\n

The markets are recovering so opportunities are scarce, which leaves us time to work on the rest.<\/p>\n

I spent some time on the different risk indicators of the fund. The first is historical volatility. This is the most important one, as it is the one that determines the SRRI* of the fund:
<\/p>\n

Volatility over 5 years > SRRI<\/u><\/strong><\/p>\n

between 2% and 5% > 3<\/p>\n

between 5% and 10% > 4<\/p>\n

between 10% and 15% > 5
<\/p>\n

If I look at the funds we are compared to, such as Carmignac Patrimoine or Eurose, the level of volatility is similar for all three funds: 8.51% for Carmignac, 8.92% for Eurose and 8.85% for Monocle (all data comes from Quantalys and is over 3 years).<\/p>\n

However, if I look at the Max Drawdowns (i.e. the maximum loss observed between a peak and a trough of a portfolio), the result is significantly different. Carmignac is at -16.35%, Eurose is at -18.61% but Monocle is at -8.87%.<\/p>\n

Similarly, if I look at the Downside Risk (the calculation of volatility only on downward movements), we are at 6.40% for Carmignac, 7.11% for Eurose and 4.95% for Monocle.<\/p>\n

Where do these differences come from? From the strategy of the reserve. The fact that we 1) \"hold our reserves\", i.e. invest little at the top of the cycle and 2) \"allocate our reserves\", i.e. invest massively at the bottom of the cycle, means that our declines are smaller in absolute terms than our increases.<\/p>\n

To illustrate: the average of our worst performances over five weeks is -2.73%, whereas the average of our best performances over five weeks is +4.39%.<\/p>\n

The first of these five best weeks was 9 April 2020, when the fund gained +7.25% in one week. We had just invested in the COVID panic at prices disconnected from fundamentals, and tempers were settling. For example, one of our lines, G4S, had just announced a sale of its business, and the share price had risen from 70 to 107 in one week, which had a 2% impact on the fund.<\/p>\n

All this was great news for our investors - including me. But it was bad news for our volatility. If I replace this \"extraordinary\" week at +7% with a \"superb\" week at +2%, the volatility of the 3-year fund falls from 8.85% to 7.95%. That's almost one point less.<\/p>\n

I will therefore integrate these different risk indicators in the next Factsheet in order to give the most accurate picture of our management. If you have any other wishes for the redesign of the factsheet, I would be delighted to hear them.<\/p>\n

\n

Have a great week,<\/p>\n

Charles<\/p>\n

*The synthetic risk and performance indicator associated with a fund. This indicator takes the form of an integer between 1 and 7 based on the volatility of the fund.<\/em><\/p>","protected":false},"excerpt":{"rendered":"

Bonjour, Les march\u00e9s remontent donc les opportunit\u00e9s se font rares, ce qui nous laisse le temps de bosser sur le reste. J’ai pass\u00e9 un peu de temps sur…<\/p>","protected":false},"author":8,"featured_media":3198,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"inline_featured_image":false,"footnotes":""},"categories":[1],"tags":[],"class_list":["post-3197","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-le-billet-de-monocle"],"acf":[],"yoast_head":"\nMonocle - Volatilit\u00e9 et strat\u00e9gie de la r\u00e9serve<\/title>\n<meta name=\"description\" content=\"Bonjour,\u00a0Les march\u00e9s remontent donc les opportunit\u00e9s se font rares, ce qui nous laisse le temps de bosser sur le reste.\" \/>\n<meta name=\"robots\" content=\"noindex, follow\" \/>\n<meta property=\"og:locale\" content=\"en_GB\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Monocle - Volatilit\u00e9 et strat\u00e9gie de la r\u00e9serve\" \/>\n<meta property=\"og:description\" content=\"Bonjour,\u00a0Les march\u00e9s remontent donc les opportunit\u00e9s se font rares, ce qui nous laisse le temps de bosser sur le reste.\" \/>\n<meta property=\"og:url\" content=\"https:\/\/monocle.lu\/en\/2022\/08\/17\/volatilite-et-strategie-de-la-reserve\/\" \/>\n<meta property=\"og:site_name\" content=\"Monocle\" \/>\n<meta property=\"article:published_time\" content=\"2022-08-17T10:36:38+00:00\" \/>\n<meta property=\"article:modified_time\" content=\"2022-08-19T09:21:48+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/monocle.lu\/wp-content\/uploads\/2022\/08\/chess-game-Volatilite-et-strategie-de-la-reserve-scaled.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"2560\" \/>\n\t<meta property=\"og:image:height\" content=\"1707\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"author\" content=\"L'\u00e9quipe Monocle\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"L'\u00e9quipe Monocle\" \/>\n\t<meta name=\"twitter:label2\" content=\"Estimated reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"3 minutes\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\\\/\\\/monocle.lu\\\/2022\\\/08\\\/17\\\/volatilite-et-strategie-de-la-reserve\\\/#article\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/monocle.lu\\\/2022\\\/08\\\/17\\\/volatilite-et-strategie-de-la-reserve\\\/\"},\"author\":{\"name\":\"L'\u00e9quipe Monocle\",\"@id\":\"https:\\\/\\\/monocle.lu\\\/#\\\/schema\\\/person\\\/f095305e6c0f0cb67a0905de33670595\"},\"headline\":\"Volatilit\u00e9 et strat\u00e9gie de la r\u00e9serve\",\"datePublished\":\"2022-08-17T10:36:38+00:00\",\"dateModified\":\"2022-08-19T09:21:48+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\\\/\\\/monocle.lu\\\/2022\\\/08\\\/17\\\/volatilite-et-strategie-de-la-reserve\\\/\"},\"wordCount\":476,\"publisher\":{\"@id\":\"https:\\\/\\\/monocle.lu\\\/#organization\"},\"image\":{\"@id\":\"https:\\\/\\\/monocle.lu\\\/2022\\\/08\\\/17\\\/volatilite-et-strategie-de-la-reserve\\\/#primaryimage\"},\"thumbnailUrl\":\"https:\\\/\\\/monocle.lu\\\/wp-content\\\/uploads\\\/2022\\\/08\\\/chess-game-Volatilite-et-strategie-de-la-reserve-scaled.jpg\",\"articleSection\":[\"Les Billets de Monocle\"],\"inLanguage\":\"en-GB\"},{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/monocle.lu\\\/2022\\\/08\\\/17\\\/volatilite-et-strategie-de-la-reserve\\\/\",\"url\":\"https:\\\/\\\/monocle.lu\\\/2022\\\/08\\\/17\\\/volatilite-et-strategie-de-la-reserve\\\/\",\"name\":\"Monocle - 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