Skip to content

Global Minimum Volatility

Last Login: 02/13/2022


Blurred line chart showing the performance of a wikifolio as background

Want the full picture?

To view the wikifolio chart since its creation and compare it with benchmarks of your choice, register now – completely free of charge.

-50.2%
since 11/5/2021

-13.1%
Ø-Perf. per year

+7.4%
Performance (1yr)

7.4%
Volatility (1yr)

-1.3
Return/Risk



Portfolio chart

Details

Tags

Feed

Trading Idea

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.

Master data

Symbol

WFGLMINVOL

Date created

11/05/2021

Index level

-

High watermark

49.8

Investment Universe

Blurred table showing portfolio positions and key figures as background

Want the full picture?

To view the complete portfolio, all key figures, and previous trades, register now – completely free of charge.

For the composition of the virtual portfolio click here.