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Global Equity Sharpe Ratio

MNFinance

Last Login: 04/21/2022


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-2.9%
since 11/11/2021

-1.2%
Ø-Perf. per year

-5.4%
Performance (1yr)

5.0%
Volatility (1yr)

-0.1
Return/Risk



Portfolio chart

Details

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Trading Idea

The Global Equity Sharpe Ratio Portfolio is based on a mathematical Sharpe Ratio approach. This represents the most efficient portfolio from a return and risk perspective in the theory of the "Capital Asset Pricing Model". The investment universe for the allocation model consists of the 10 sub-indices of the MSCI World Index. The allocation period of the securities is 10 trading days. On the allocation day, the new weights are reallocated based on the closing prices of the previous 20 trading days in the Sharpe Ratio Model. Since the allocation signal can only be given by the model in the evening, the new weights are implemented on the market the following day at new trading prices. Through the quantitative strategy, human errors in the investment process should be minimized. Benchmark for performance comparison of the Global Equity Sharpe Ratio Portfolio is the MSCI World Index, which should be outperformed by the strategy.

Master data

Symbol

WFGESR0001

Date created

11/11/2021

Index level

-

High watermark

97.2

Investment Universe

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