Global Minimum Volatility

The Global Minimum Volatility Portfolio is based on a mathematical minimum variance approach. This Strategy is a popular low-risk strategy for capital protection. The Global Minimum Volatility Portfolio represents the Portfolio with the lowest volatility in the modern Portfolio theory. The investment universe for the allocation model consists of 10 of the 11 sector-indices of the MSCI World (excluding Real Estate because there is no accumulating ETF). The allocation period of the securities is 2 weeks. On the allocation day, the new weights are reallocated based on the closing prices of the previous 20 trading days in the minimum volatility 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 trading 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 Minimum Volatility Portfolio is the MSCI World, which should be outperformed by the strategy.