Update: Volatility & Quality
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.
All of our factor-based 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 the mistake of selling winning positions too early, for example.
Our model portfolios are included in our premium package. They are updated once a month. We report the holdings and portfolio weights on the page Model portfolios.
Development
The strategy performed like the index until April 2024. Since then, the portfolio has outperformed the index, thanks to companies such as Hoist Finance, Ambea, Lundin Gold, ITAB and Kemira.
Statistics since the start of April 2023
| Development | Sharpe | Volatility | MaxDD | Beta | correlation | Tracking error | |
| Volatility & Quality | 35.9% | 1.32 | 11.3% | -7.3% | 0.46 | 0.66 | 10.8% |
| MSCI Sweden | 23.6% | 0.60 | 14.3% | -9.0% | 1.00 | 1.00 | 0% |
Monthly development (%)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total |
| 2023 | 1.2 | 3.0 | 1.0 | 0.8 | -0.7 | -1.8 | 1.2 | -2.2 | 2.2 | 4.6 | |||
| 2024 | 5.6 | 3.4 | 5.7 | 3.0 | 6.6 | 0.2 | 3.3 | 0.1 | -0.2 | -3.5 | 0.8 | 1.9 | 29.8 |
Development last month
Over the past month, the strategy has risen by 0.3%, which is in line with the development of the Stockholm Stock Exchange.
Biggest positive contributors in the past month:
- Clas Ohlson: +0,7 %
- AAK: +0,3 %
- MedCap: +0,2 %
Biggest negative contributors in the past month:
- Hoist Finance: -0,3 %
- Dynaxox Group: -0,2 %
- Camurus: -0,2 %
Portfolio changes and current holdings
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