Investment Objectives the WSC Dynamic Variance ETF Model Portfolio:
- 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.
- Non-risk-averse investors searching for high annualized returns over a full market cycle.
- Traders searching for profitable trading ideas.
- 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.
- The allocation of the portfolio is updated on the last Friday of every month.
- 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.
- 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).
- The performance and risk figures are updated on a weekly basis. For further information please visit our FAQ page.