The overview below shows how the Pension Fund assets are allocated to the different asset categories at the time indicated. In addition, it provides key figures relating to the Pension Fund and the strategic bandwidths.
|Asset Categories||in %|
|Total Bonds and Liquidity||39.6|
|Total Real Estate||14.7|
|Total Alternative Investments||13.8|
1 Any discrepancies between the stated percentage rates and the total sum of these percentage rates are due to rounding differences.
The ratios relevant to the Pension Fund can be found in the following table. The information covers the period from January 1, 2003, to June 30, 2020.
|Number of months||210|
|Maximum monthly return||3.51%|
|Minimum monthly return||-5.34%|
|Annualized Sharpe ratio3||0.82|
|Value at Risk4 (VaR*), 1 year 95%||22.83%|
The annualized return corresponds to the geometric average per annum over the last three years.
The annualized volatility corresponds to the annualized fluctuation in the portfolio return over the past three years.
3Annualized Sharpe ratio
The Sharpe ratio of an investment reveals how much of an excess return (return minus the risk-free interest rate) per risk unit (usually per % volatility) was generated. A risk-free interest rate is normally considered to be an interest rate determined by the money market (three-month LIBOR).
It is important for an investor to know whether the investment in an asset is worthwhile, taking into account the risk involved. The higher the Sharpe Ratio of an investment, the greater the return above the risk-free interest rate generated per risk unit. This again means that the investor has been rewarded accordingly for the risk taken. Annualized in this regard means that the Sharpe Ratio was calculated based on the annualized return over the last three years.
Calculation: (return - risk-free interest rate) / risk (volatility)
4Value at Risk
The value at risk (VaR) ratio is used to estimate the ex-ante (future) risk/loss potential of an investment over a defined period. VaR shows with a certain degree of probability that the loss will not be greater than the value shown (VaR). The reported VaR of the Pension Fund of Credit Suisse Group (Switzerland) relates to the total assets.
*ex ante VaR based on current asset allocation and balanced return series over a period of three years
The strategic bandwidths valid since January 1, 2018, can be found in the following table.
|Asset categories||Strategic Bandwidths in %|
|Bonds and liquidity||15–65|