Investment Objectives of the WSC All Weather Model Portfolio:
The WSC All Weather Model Portfolio (AWP) is designed to perform reasonably well during all market conditions and should, therefore, be regarded as a core investment.
The aim is to achieve absolute positive and stable returns over a three-year investment horizon by exploiting the diversification premium in a very systematic way.
Typical Investor:
Investors focused on long-term capital appreciation.
Investors searching for a core investment or an alternative to a typical 40/60 portfolio.
Investment Process:
The portfolio balances its underlying assets to create the most diversified portfolio within a given investment universe. This is done by maximizing the diversification ratio, which is the sum of the weighted asset volatility divided by the portfolio volatility.
For further information, please visit our Seeking Alpha blog or download our article “Modern Portfolio Theory 2.0 – The Most Diversified Portfolio” as pdf-file.
Favourable Market Environment:
Low correlation between asset classes.
Challenging Market Environment:
High correlation between asset classes.
Allocation Advice:
The allocation of the portfolio is updated on the last Friday of every month.
Performance Calculation:
The performance calculation is based on the assumption that a new allocation advice is executed at the closing price on that day. No rebalancing is made in between.
Benchmark:
The benchmark is a balanced portfolio of 40% stocks Vanguard Total Stock Market ETF) and 60 % bonds (iShares US Aggregate Bond ETF).
Factsheet:
The performance and risk figures are updated on a weekly basis. For further information please visit our FAQ page.
