AGF U.S. Sector Class

By: • January 31, 2018 • Product Insight

Monthly Update


  • The Fund remained fully invested during January but increased its cash weighting from 0% to 25 to 50% between February 8th and 12th as the market risk regime moved from Calm to Elevated to High Risk.
  • The Fund reduced its currency hedge on January 4th to 0% from 50% following sharp rise in Canadian dollar and subsequently increased to 50% on February 14th to mitigate risk and reduce the return volatility associated with the increased cash position

Risk Regime - High Risk (12/02/2018)

Definition: In times of high market risk levels, the Fund’s proprietary Market Risk Model will indicate a High Risk Regime. In a High Risk Regime, the Fund typically maintains a 50% cash allocation and the remaining 50% is invested with diversified exposure to all ten GICs sectors based on the Fund’s proprietary Sector Allocation Model.

Guidance: The market risk model stayed in a Calm risk regime as of January 31st. VIX started to break above its 250day moving average in the middle of January but remained contained. Later it surged in early February to above 30 level which was last reached in summer 2015 and it is this market backdrop that has triggered a High Risk Regime as the downside risk has the potential to negate the upside potential. The Market Risk Model will continue to assess the overall market attractiveness and determine the appropriate balance between equity and cash.

In January, US equity market climbed higher at a faster than usual pace – S&P 500 index was up by 5.6% and rallied almost into the month end when the Fed met and kept the rate unchanged. The focus of the month was on Q4 corporate earnings; the strengths of which brought investors optimism on fundamentals as well as overall economy. In the second half of the month, due to the lack of consensus between the two parties on budgeting US government was shutdown for several days - this was largely shrugged off by the market. Meanwhile, rising yields which caused losses in bonds started to raise some concern in the stock market, however the spillover effect was only minor.

Source: Bloomberg, as of February 9, 2018

Risk Regime Changes - Timeline

Current Positioning & Sector Allocation Update

Asset Class % Allocation (31/01/2018) % Allocation (08/02/2018) % Allocaiton (13/02/2018)
Equities 100% 75% 50%
Cash Equivalents 0% 25% 50%
Source: AGF Operations, as of December 31, 2017
ETF Name Weight
Active Weight
vs. S&P 500
Consumer Discretionary Select Sector SPDR 16.2% 12.7% 6.4% -6.2%
Consumer Staples Select Sector SPDR 10.2% 13.6% 6.7% -1.2%
Energy Select Sector SPDR 1.0% 1.0% 0.5% -5.5%
Financial Select Sector SPDR 16.5% 12.3% 6.2% -8.7%
Real Estate Select Sector SPDR 3.2% 2.2% 1.1% -1.6%
Health Care Select Sector SPDR 17.8% 17.0% 8.3% -5.6%
Industrial Select Sector SPDR 7.3% 7.2% 3.6% -6.7%
Technology Select Sector SPDR 25.8% 20.0% 10.1% -16.0%
Materials Select Sector SPDR 1.0% 5.8% 2.9% 0.0%
Utilities Select Sector SPDR 1.0% 8.3% 4.1% 1.4%
SPDR Barclays Capital 1-3 Month T-Bill 0.0% 0.0% 50.1% 50.1%
Source: AGF Operations, as of February 13, 2018. S&P500 Weights as of January 31, 2018


Published Date: February 22, 2018

Commissions, trailing commissions, management fees and expenses all may be associated with mutual fund investments. Please read the prospectus before investing. The indicated rates of return are the historical annual compounded total returns including changes in share or unit value and reinvestment of all dividends or distributions and does not take into account sales, redemption, distribution or optional charges or income taxes payable by any security holder that would have reduced returns. Mutual funds are not guaranteed, their values change frequently and past performance may not be repeated. The information contained herein is intended to provide you with general information related to investment alternatives and strategies and is not intended to be comprehensive investment advice applicable to the circumstances of a specific investor.

Commentary and portfolio characteristics are the opinion of the Portfolio Manager based on market conditions as of February 12, 2018. References or inferences to returns do not take into account any management fees, transaction costs, commissions, custodial fees, taxes or other costs that apply when purchasing securities. We strongly recommend consulting with a professional advisor prior to making investment decisions.

FFCM, LLC is a majority-owned subsidiary of AGF Management Limited acquired on November 17, 2015. The remaining ownership is held by FFCM’s management team. This firm acts solely as a portfolio advisor to the Fund. A portfolio advisor provides the Fund with investment research and recommendations. They do not make investment decisions on behalf of the Fund.

The All World Tax Advantage Group is a mutual fund corporation that currently offers approximately 20 different classes of securities. In addition, to fund diversification by investment style, geography and market capitalization, a key benefit of investing in any of the classes within the group is the possibility of sharing incurred expenses (and losses) of the combined structure potentially offsetting income earnings to minimize the chance of a dividend declaration. While the articles of AGF All World Tax Advantage Group Limited provide authority to make distributions out of capital and AGF All World Tax Advantage Group Limited intends both to calculate capital in the manner contemplated by the corporate statute for corporations that are not mutual fund corporations and only to declare distributions out of capital if there is sufficient capital attributable to a series, no definitive case law exists to confirm that a mutual fund corporation may make distributions of capital and how it is to be calculated. Further, no advance income tax ruling has been requested or obtained from Canada Revenue Agency, nor is AGF aware of any published advance income tax ruling or the possibility of obtaining such a ruling, regarding the characterization of such distributions or the calculation of capital for such purposes.