FRR 2016 ANNUAL REPORT16
Performance of the strategic allocation indices in 2016
-5%
0%
5%
10%
15%
20%
25%
15 .9
U S
S m
al l c
ap e
qu it
ie s
15 .7
U S
H ig
h Yi
el d
C or
po ra
te b
on ds
14 .5
E m
er gi
ng M
ar ke
ts E
qu it
ie s
11 .6
E m
er gi
ng M
ar ke
ts g
ov er
nm en
t bo
nd s
10 .3
U S
L ar
ge &
M id
c ap
e qu
it ie
s
9. 1
E ur
o H
ig h
Yi el
d C
or po
ra te
b on
ds
8. 9
F ra
nc e
La rg
e &
M id
c ap
e qu
it ie
s
7. 2
F ra
nc e
S m
al l &
M id
c ap
e qu
it ie
s
6. 9
A si
a ex
J ap
an e
qu it
ie s
4. 8
E ur
o La
rg e
& M
id c
ap e
qu it
ie s
4. 7
E ur
o In
ve st
m en
t G
ra de
C or
po ra
te b
on ds
4. 5
E ur
op e
S m
al l c
ap e
qu it
ie s
4. 3
R E
IT s
2. 5
U S
In ve
st m
en t
G ra
de C
or po
ra te
b on
ds
1. 8
F ra
nc e
G ov
er nm
en t
bo nd
s
0. 5
U S
G ov
er nm
en t
bo nd
s
-1 .4
J ap
an e
qu it
ie s
10 .7
N or
th A
m er
ic a
La rg
e &
M id
c ap
e qu
it ie
s
20 .2
C om
m od
it ie
s
Source: Index providers (FTSE Russell, MSCI, Barclays Capital, JPMorgan) via Spirris.
former (+10.7%) as well as eurozone (+4.8%) and Japanese (-1.4%) equities, i.e. in the oppo- site order to 2015. Equities were the main driver of performance over the year, contribut- ing 2.3%.
Higher yielding assets (high yield bonds, emerging market bonds) also enjoyed an exceptional year, appreciating by 13.9% and 11.6% respectively, largely owing to the drop in risk premiums. Together, they added 1.22% to overall performance.
Both types of assets contributed positively to performance in 2016: 1.3% for hedging assets and 3.7% for performance assets.