# Investment manager’s report for the financial year ended 31 July 2021
The Sub-Fund’s investment objective is to provide Shareholders with long term exposure to the performance of the Portfolio Strategy (as defined below) with 80% of the highest NAV (from the launch of the Sub-Fund onwards) being protected as a minimum exit Net Asset Value (“NAV”).
The Portfolio Strategy is a multi-asset portfolio which consists of investments in fixed income, equities, foreign exchange and alternative assets including ETFs, determined from time to time by OP Asset Management Ltd (the “Sub-Investment Manager”) and exposure to cash.
The allocation between the portfolio and cash is rebalanced following a volatility control mechanism. The volatility budget (i.e. the maximum allowed level of annualised standard deviation of the Portfolio Strategy) is below 10% over the term of the investment.
As at 31 July 2021 the Sub-Fund’s exposure to the portfolio strategy is 125.00% with an average exposure since launch of 105.00%.
The Sub-Investment Manager determines the allocation to the constituents of the strategy on a discretionary basis, subject
to a minimum allocation of 0% of net exposure to fixed income and maximum allocation of 100% of net exposure to equities. Please find below an extract of the Sub Investment Manager’s report on the discretionary strategy:
Uncertainty over the COVID-19 situation continued to dominate the market sentiment in July despite massive global efforts to support the economy and market liquidity. Equity and credit markets continued their strong but bumpy recoveries. US equities led the rally for developed markets and Asia for emerging markets. The concern over the second wave of corona pandemic caused markets to fall temporarily in October. From November onwards, positive vaccination news supported the recovery again. Driven by the optimistic economic outlook, the rest of the period was strong for equities, especially in developed markets. Inflationary pressures increased as demand rebounded. Government bond yields gradually picked up and this rise continued until the spring of 2021. Yields rose more in the United States than in the euro area. In the spring yields fell, first in the United States and later in the euro area. Returns on fixed-income investments remained modest, although spreads narrowed supported by the strong sentiment.
In the beginning of the period, asset volatilities were higher compared to the past averages. Due to the volatility control mechanism the exposure to the asset portfolio remained low. Lower participation shrank the gains from the strong equity returns. When asset prices recovered in August, volatilities also calmed down gradually. In the beginning of September, the exposures to asset portfolios reached maximum levels. When the volatilities spiked again in October, exposures fell sharply once again. From mid-December onwards exposures were again close to their maximum level, except for a brief increase in volatility during March. While the exposures remained high for most of the time, sudden drops in exposure levels during segments of uncertainty meant that the fund did not really benefit from the following rallies. This hurt the overall performance of the fund. We expect the volatility environment to remain challenging for funds with volatility control mechanisms until the economic activity finally normalizes after the pandemic. There were no major changes in the structure of asset portfolio during this period.
The Sub-Fund was launched on 28 September 2017.
From 28 September 2017 (its inception) to 31 July 2021, the performance of the Sub-Fund is 1.83%. From 31 July 2020 to 31 July 2021, the performance of the Sub-Fund is 7.57%.
The Sub-Fund has an annualised volatility of 7.58%.
Moderate 80% Protected Fund

Translation (ENDE, 2021-07-31):
# Bericht des Anlageverwalters für das Geschäftsjahr zum 31. Juli 2021
Das Anlageziel des Teilfonds besteht darin, für die Anteilinhaber ein langfristiges Kapitalwachstum aus einem Multi-Asset- Portfolio zu erwirtschaften und einen Schutz in Höhe von 90 % des höchsten jemals vom Teilfonds erzielten Nettoinventarwerts („NIW“) je Anteil zu bieten (der „Mindestziel-NIW“).
Die Portfoliostrategie besteht aus Long- und Short-Positionen in einem Portfolio aus Wertpapieren und anderen Vermögenswerten nach einem systematischen Mechanismus. Dieser Mechanismus teilt die Gewichtungen einer Aktien- Anlagegruppe, einer Renten-Anlagegruppe und einer Barkomponente zu, wie in der Ergänzung des Teilfonds dargelegt. Der Mechanismus zielt darauf ab, die erwartete lisierter realisierte Volatilität der Portfoliostrategie nahe 5 % zu halten.
Zum 31. Juli 2021 betrug das Engagement des Teilfonds in der Portfolio-Strategie 108,14 %, wobei das durchschnittliche Engagement seit Auflegung bei 100,32 % lag.
Der Teilfonds wurde am 22. Januar 2020 aufgelegt.
Vom 22. Januar 2020 (Auflegung) bis 31. Juli 2021 betrug die Performance des Teilfonds auf -3,56 %. Vom 31. Juli 2020 bis zum 31. Juli 2021 belief sich die Wertentwicklung der Anteilsklasse auf -0,37 %. Der Teilfonds weist eine annualisierten Volatilität von 2,02 %.
Pergola 90