Value & Momentum is a strategy that combines the factors of value and momentum to buy cheap companies that are trading with good momentum. Portfolio weights are adjusted for volatility and changes are made once a month.

Holdings and position sizes are included in the premium package and are displayed on the Model Portfolios page.

Keep in mind that factor-based equity portfolios have a high correlation to the stock market. After all, it is stocks that we buy. If the stock market falls, the equity portfolios are expected to fall.

With patience, discipline and systematic position management, we have a good chance of outperforming over time.

By updating the portfolio once a month instead of constantly adjusting it, the strategy has room to operate and function as it is intended to.

Stable development during the year

Value & Momentum has risen 32% so far in 2024, outperforming the stock market. Volatility and maximum decline have been lower than the Stockholm Stock Exchange, thus also providing a higher risk-adjusted return.

Holdings that contributed the most to the portfolio in 2024 are Hoist, Traton and Enea.

Development 2024

And this is how the development looks since the start of April 2023:

• Sharpe: 1,7 (0,6)
• Sortino: 1.3 (0.7)
• Tracking error: 11,3% (0.00%)
• Correlation: 0.6 (1.00%)
• Volatility: 11.8% (14.5%)
• Max decline: -8.8% (-10.1%)

Figures in parentheses refer to the Stockholm Stock Exchange.

Development since start 2023

Ericsson has provided support in the past month

Last month, the strategy rose by 1.9% during a period where the stock market (MSCI Sweden) was unchanged.

• The largest positive contributors over the past month have been Ericsson (+1.13%), Lundin Gold (+0.68%) and Enea (+0.37%).
• The biggest decliners have been Peab (-0.35%), Solid (-0.24%) and Inwido (-0.21%).

Changes and current holdings

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