The index consists of a diversified portfolio of stocks that are clearly undervalued.
An undervaluation is identified when four valuation models reach the
same result independently of each other. The first model is a simple, sound and
informative valuation model with very short-term time horizon based on analyst
estimates. The second model is the full and completed valuation model according
to Prof. Stephan Penman. The third model is an empirically generated combination
of the key components of the large valuation model. The last one is a
statistical model using a random forest model. The more positive votes of these
models, the merrier the expected performance. Titles with a high market capitalization
are preferred as part of the selection process. In the allocation there are
no restrictions with regards to sectors or regions. The stocks are equally
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.