Volatility & Quality is a factor-based strategy that aims to create exposure to stocks with low volatility and high quality ratings. Rebalancing occurs once a month, and the goal is to achieve a higher risk-adjusted return than the stock market.

For example, on the platform we can sort stocks by quality, where the assessment is based on profitability, debt, earnings quality and dividends. Companies that show high margins and strong return on capital, combined with low debt, good earnings quality and a growing dividend, are given a higher rating. Companies without dividends are not penalized, as the focus is primarily on long-term fundamental factors that indicate financial stability and quality.

Low volatility often coincides with an upward trend in the share price, which gives the portfolio a trend-following character. This means that the strategy closes out losers relatively quickly and retains high-quality winners. The investment universe consists primarily of Swedish companies, but the strategy also allows investments in foreign companies.

All of our systematic strategies are based on concepts where there are behavioral explanations for why they have the potential to outperform. These strategies help us act more rationally. By following a systematic strategy, we avoid, for example, the mistake of selling winning positions too early.

There are no strategies that always outperform. All strategies have both strong and weak periods, but over time they have good prospects of generating a good risk-adjusted return.

Our model portfolios are included in our premium package.

Development

The strategy performed like the index from inception until April 2023. Since then, the portfolio has outperformed the index, thanks to companies such as Hoist Finance, Ambea, Lundin Gold, ITAB and Kemira.

Our strategies do not focus on individual holdings. All holdings are treated equally, with portfolio weights adjusted for volatility, giving each holding the same theoretical opportunity to influence the portfolio's performance.

Statistics since the start of April 2023:

• Return: 33.9% (20.5%)
• Volatility: 11.2% (14.3%)'
• Max decline: -7.5% (-10.6%)
• Correlation: 0.56 (1.0)
• Sharpe: 1,31 (0,53)
• Tracking error: 12,1% (0,0%)

Figures in parentheses refer to MSCI Sweden.

Monthly comment

Last month, Volatility & Quality fell by 2.0%, which can be compared to MSCI Sweden, which fell by 2.5%.

• Biggest positive contributors: RaySearch (+0.73%), AQ Group (+0.55%) and Hoist Finance (+0.44%)
• Largest negative contributors: QT Group (-0.88%), AAK (-0.87%) and Hemnet (-0.52%).

Changes

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