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European Minimum Volatility

Last Login: 02/13/2022


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+7.1%
since 10/27/2021

+1.3%
Ø-Perf. per year

+7.4%
Performance (1yr)

15.5%
Volatility (1yr)

0.1
Return/Risk



Portfolio chart

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Trading Idea

The European minimum volatility Portfolio is based on a mathematical minimum variance approach. This Strategy is a popular low-risk strategy for capital protection. The European minimum volatility Portfolio represents the Portfolio with the lowest volatility in the modern Portfolio theory. The investment universe for the allocation model consists of 18 of the 19 sub-indices of the EUROSTOXX 600 (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 European minimum volatility Portfolio is the EUROSTOXX 600, which should be outperformed by the strategy.

Master data

Symbol

WFQEEMV001

Date created

10/27/2021

Index level

-

High watermark

110.9

Investment Universe

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For the composition of the virtual portfolio click here.