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US Multi-Factor Strategy

Last Login: 09/18/2026


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+19.3%
since 1/7/2025

+10.1%
Ø-Perf. per year

+11.2%
Performance (1yr)

12.7%
Volatility (1yr)

0.6
Return/Risk



Portfolio chart

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Trading Idea

The portfolio consists of four systematic strategies that are diversified across different trading methodologies and market influences. Each strategy targets a specific aspect of market behavior, combining global macroeconomic factors, mean reversion, volatility, and risk sentiment. • Macro Trends (Global Spread Strategy): Exploit cross-market dynamics influenced by global themes. • Behavioral Bias (Mean Reversion): Benefit from predictable market overreactions. • Volatility (Bollinger %B): Adapt to market conditions using volatility-based signals. • Risk Sentiment (KCFSI): Hedge against systemic risks and profit from macroeconomic stability. By combining these four strategies, the portfolio aims to achieve: • A Sharpe ratio > 1 through risk-adjusted returns. • Low correlation between strategies to enhance overall performance. • Resilience to various market conditions (trend, range, and macroeconomic shocks).

Master data

Symbol

WFUS500MFS

Date created

01/07/2025

Index level

-

High watermark

120.1

Investment Universe

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