Volatility & Quality is a factor-based strategy that aims to create exposure to stocks with low volatility and a high quality rating. The investment universe consists primarily of Swedish companies, but the strategy also allows investments in foreign companies. Rebalancing occurs once a month, and the goal is to achieve a higher risk-adjusted return than the stock market.

Low volatility often coincides with an upward trend in the stock price, giving the portfolio a trend-following nature. This means that the strategy quickly exits losing positions and retains high-quality winners.

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

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, which have all risen strongly in recent months.

Our strategies do not take “bets” on individual holdings. All holdings are treated equally, with portfolio weights adjusted for volatility, so that each holding has the same theoretical opportunity to affect the portfolio’s performance.

Statistics since the start of April 2023:

• Return: 35.3% (23.6%)
• Volatility: 12.3% (14.5%)'
• Max decline: -7.5% (-10.6%)
• Correlation: 0.57 (1.0)
• Sharpe: 1,51 (0,69)
• Tracking error: 12,3% (0,0%)

Figures in parentheses refer to MSCI Sweden.

Monthly comment

Last month, Volatility & Quality rose by 4.8%, which is slightly higher than the Stockholm Stock Exchange's rise of 2.6%.

• Biggest positive contributors last month: Konecranes (+0.66%), Alfa Laval (+0.62%) and Lundin Gold (+0.59%)
• Biggest decliners last month: Camurus (-0.28%), Haypp Group (-0.19%) and Scandi Standard (-0.16%).

Changes and current holdings

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