Investment strategy 2018-1

General

The Idun Portfolio is a rule-based investment portfolio. It relies on publicly available research with a proven and significant performance history. 

The portfolio consists of three sub-portfolios, where Momentum and Value are rule-based, while the smaller part, the Opportunities portfolio, is less rigid and used for new ideas.

Goal

The overall goal for the Idun Portfolio is

• to perform at least as well as the global stock market (measured by comparing Cagr for the portfolio with the ACWI index)
• to do this with less yearly variations than the global stock market ( measured by comparing Sharpe and the worst year return for the portfolio with the ACWI index)
• to be able to run the portfolio using only a few hours of work per week (measured by keeping track of the hours spent and evaluated on a yearly basis)

Evaluation

The entire investment strategy including the goals should be evaluated and updated on a yearly basis.

Any change in-between the yearly evaluations should be documented separately.

The Portfolio rules

2018-05-17
Portfolios	Global momentum	Global value	Opportunities
Description	Apply dual momentum to US and World ex US* Stock and Bond market, i.e. buy the strongest of US and World ex US Stock if stronger than cash, otherwise buy an aggregate bond. Use a 12 month lookback period for performance evaluation. Evaluate weekly and change 25% of the portfolio if a change is signalled. Use the following Vanguard ETF's for evaluation: - US Stock: voo - ex US Stock: veu - Cash: bil Each week, buy the stock ETF with highest 12 month performance, if higher than cash performance, otherwise buy bond. * EU citizens are since early 2018 not allowed buy voo and veu. Instead they will be replaced by a number of others and World ex US Stock will be emulated by a mixture of developed and emerging markets ETF's.	Use trending value* on the global stock market and hold 10-20 stocks (minimum market cap $100 million) for a year each. Apply trailing stop loss and sell when the price has dropped 20% from its highest price after purchase. Wished properties in addition to trending value: - Composite Value 2 in 1% best - EBIT/EV > 15% - P/E > 0 - P/S > 0 - P/B > 0 - 12-, 6- and 3 months price momentum all > 0% * Trending value uses a combined measure of value, called Composite value 2, using a combination of EBIT/EV, P/E, P/S, P/B and shareholder yield. Then, the best 10% are sorted in falling 6 month price momentum. The top of the list are bought and held for a year.	This portfolio is not strictly rule-based. It could be anything that appears to be lucrative after thorough investigation. Current focus is on special situations and spin-off investing.
Portfolio size	This should be the largest part of the total portfolio, at least 70%. Target size is 75%	Portfolio size should be within 10%-30% ot the total portfolio comprising 5-20 individual holdings. Target size is 20%	Portfolio size should be less than 10% ot the total portfolio. Target size is 5%
Performance goal	Better than, or at least close to, ACWI and with lower draw-downs, resulting in a higher Sharpe.	Better than ACWI.	Better than ACWI.
Currency hedging	Do not use currency hedging.
Leverage	Leverage can be used from time to time, but shold not exceed 1,55 for the total portfolio.
Turnover rate	Turnover rate should over time not exceed 200% per year for the total portfolio. The turnover is however mostly dependent of the rule based signals fired, but in general a lower rate (meaning less work and cost) should be strived for.