WSC Dynamic Variance ETF Model Portfolio – Sample

Investment Objectives:

  • The WSC Dynamic Variance ETF Model Portfolio (DVP) is designed to achieve high positive returns in strong uptrending global markets and to cap losses during a volatile market environment.
  • The aim is to achieve high annualized returns within strong uptrending markets.

Typical Investor:

  • Non-risk-averse investors searching for high annualized returns over a full market cycle.
  • Traders searching for profitable trading ideas.

Investment Process:

  • The portfolio selects the most attractive ETFs based on their mid-term oriented cross-sectional momentum score.
  • Afterwards, the portfolio balances these selected ETFs to create the least volatile portfolio possible.
  • The idea is that in a strong uptrending market, the portfolio should automatically increase its volatility (risk), whereas in a strong downtrending market the volatility of the portfolio should be automatically reduced to protect capital.

Favourable Market Environment:

  • Strong trending global markets (up and down).
  • Low correlation between asset classes.

Challenging Market Environment:

  • V-shaped market movements (limited sell-off followed by a strong recovery).
  • Non-trending markets.
  • Outperformance of U.S. equities vs. other global markets.
  • 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 % U.S. Treasury bonds (iShares 7-10 Year Treasury Bond ETF).

Factsheet:

  • The performance and risk figures are updated on a weekly basis. For further information please visit our FAQ page.
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