Case study: Vontobel Fund II – Vescore Active Beta

Let’s return to the unforgettable March of 2020. How did the combination of a basic portfolio and a systematic investment strategy with listed futures respond here? The Active Beta Portfolio operates systematically and is exposed to equities and bonds through futures. Following substantial losses for equity futures in March, positions in the basic portfolio had to be sold to provide the necessary collateral to stock exchanges. Portfolio managers could implement their chosen strategy at any time, without having to accept significant losses or a sharp rise in bid-ask spreads. The trading activities proposed by the systematic investment strategy were carried out. The underperformance of around 12 basis points by the Active Beta fund basic portfolio in comparison to the 3-month money market rate (Euribor) is comparatively minor when you consider the liquidity-related discount of other investment solutions. The portfolio’s performance in March was thus also driven chiefly by the actual investment strategy, not by liquidity aspects.

A solution that takes liquidity elements into account as well as yield and security does not merely help investors weather a crisis. In its almost 20-year history, the Active Beta fund has already overcome several crises and has established an excellent long-term track record.