Update: Model portfolio Volatility & Quality
Volatility & Quality is a factor-based strategy for creating exposure to stocks with low volatility and good fundamental quality.
Low volatility often coincides with an upward trend in the stock price, which implies a trend-following nature of model portfolios. The result is that the strategy stops losers at an early stage and rides high-quality winners.
Portfolio comment
The strategy has developed well so far in 2024. The portfolio has risen by 28% with a lower standard deviation (volatility) than the Stockholm Stock Exchange, which means a high risk-adjusted return.
Volatility is not always a good measure of risk, but we can think of volatility as a currency. With as little volatility as possible, we want to buy as much yield as possible.
Last month, the portfolio fell by 0.7%, which is lower than the Stockholm Stock Exchange, which has fallen by 5.6%.
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- The biggest positive contributors have been Hoist Finance (+1.2%), Konecranes (+0.37%) and Suncor Energy (+0.37%)
- The biggest decliners in the past month have been Microsoft (-0.51%), Atlas Copco (-0.40%) and Trelleborg (-0.38%).
The graph below shows the development Year to Date.
Changes and holdings
This month has seen more changes than usual as volatility has risen sharply. When volatility rises, two things happen:
- Our position sizes will be smaller because volatility is much higher
- There will be more holdings in the portfolio because portfolio weights are smaller
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Follow our model portfolios and strategies
In our premium package, we offer several model portfolios and strategies.
Stock portfolios:
- Top Picks Momentum
- Value & Momentum
- Volatility & Quality
Click here to download a PDF with more information about our long-only strategies on stocks.
Asset allocation:
- Box Play
- Power Play
- Global Trend
- Tactical Diversification
Click here to download a PDF with more information about our long-only strategies on stocks.
Furthermore, we have several different strategies and models in the platform that are used as a basis for decision-making for our trading.
