On January 17th the ACATIS AI Global Equities was rebalanced. Today I want to review the portfolio since the last rebalancing in July 2019 up to the rebalancing in January 2020. Measured against the MSCI World Index, the fund has fully met our expectations. With an absolute performance of 15.7%, the fund has outperformed the MSCI World Index by +4.4%.
The two major changes in July 2019 appear to be bearing fruit. Firstly, a graphical neural network was used as a new stock selection model. The comparative analysis in the sector is closer to the way a human, active manager works. On the other hand, portfolio construction has been simplified. The sector and regional weights of the MSCI World Index were mapped in the fund with as little deviation as possible. However, due to the exclusion of real estate and financial stocks, this is only an approximation. The aim of the two changes was to ensure that external risks (macro environment and politics) only have a minor impact on the portfolio. The focus is therefore strongly on ACATIS' stockpicking expertise. Since the AI is designed to analyse fundamentals and not politics, the AI has done exactly what we set it up to do – with success.
The attribution analysis shows that the +3.5% of the +4.4% outperformance is mainly due to stockpicking. The sector allocation also had a positive contribution. However, almost half of the allo-cation contribution is a result of the exclusion of real estate and financial stocks, a decision that was made by humans rather than machines.
Since the rebalancing in July 2019, the portfolio has been more strongly positioned relative to the MSCI World Index in small stocks with value characteristics. The value factor in particular was in demand in the fourth quarter of 2019 and, from a factor perspective, is one of the reasons for the outperformance relative to the MSCI World Index.
The best stocks since the rebalancing in July 2019 were Cirrus Logic (+87.1), Diodes (+54.7%) and Skyworks Solutions (+52.3%). The acquisition of Toshiba Plant Systems & Services (+39.4%) by Toshiba, as well as the above-average performance of the UK stocks (+21.4% on average) were also pleasing. The worst stocks since the rebalancing in July 2019 were Hudbay Minerals (-31.7%), Vonage (-29.4%) and RPC (-25.3%).
Stay tuned! Next week my colleague Dr. Eric Endreß will talk about the investment process of the ACATIS AI Global Equities and how the new portfolio after the rebalancing in January 2020 looks like.
Our disclaimer applies to the report.