The index consists of an equity portfolio focused on valuation and risk diversification.
Initially the global universe is limited to low-risk stocks using a risk filter.
The remaining stocks are ranked by sector according to a multifactor model
consisting of valuation, quality and momentum. The portfolio management team
then selects about 50 stocks from this pool by taking into account additional
criteria and external scoring models. The allocation arises out of the attractiveness
of the different sectors and regions due to a valuation and momentum
model. The final weighting of the stocks is based on the individual contribution
to the return/ risk expectation. Finally 50% of the market risk and a part of the
currency risks are hedged.
Please note that the index chart above may be partly comprised of historical performance illustration based on a backtest. The guideline provides an indication where this is the case.