The Idun Portfolio is a rules-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)
Evaluation
The entire investment strategy including the goals will be evaluated and updated on a yearly basis.
Any change in-between the yearly evaluations will be documented separately.
The Portfolio rules
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| Portfolios | Momentum | Value | Opportunities |
| Description | If 3/6/12 month performance, measured in USD, of Global Stock market (acwi) is higher than the safe rate (short term US treasury), apply momentum to US, Europe, Japan, Asia Pacific ex japan and Emerging Markets Stock.
Invest in the one to two Stock ETF's with best 3/6/12 month performance above Global Stock market and safe rate.
If 3/6/12 month performance, measured in USD, of Global Stock market (acwi) is lower than the safe rate. apply momentum to US, EU and Emerging Markets Bond markets and Gold.
Invest in the two (one if one Stock ETF is selected) ETF's with best 3/6/12 month performance. Only invest in ETF's above the safe rate, otherwise stay in cash.
In accounts where the above ETF's are not available for purchase, invest in SE Bond ETF, or suitable mutual bond fond if 3/6/12 month performance, measured in SEK, is above 0%, otherwise stay in cash..
Evaluate weekly and apply changes to 25% of the portfolio if a change is signaled and keep this part of the portfolio unchanged for at least four weeks. | 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 5% best
- EBIT/EV > 15%
- P/E > 0
- P/S > 0
- P/B > 0
- 12 > 6 > 3 months price momentum and 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.
If 3/6/12 month performance, measured in USD, of Global Stock market (acwi) is lower than the safe rate. apply momentum to US, EU and Emerging Markets Bond markets and Gold.
Invest in the two (one if one Stock ETF is selected) ETF's with best 3/6/12 month performance. Only invest in ETF's above the safe rate, otherwise stay in cash.
IIn accounts where the above ETF's are not available for purchase, invest in SE Bond ETF, or suitable mutual bond fond if 3/6/12 month performance, measured in SEK, is above 0%, otherwise stay in cash..
Evaluate weekly and apply changes to 25% of the portfolio if a change is signaled and keep this part of the portfolio unchanged for at least four weeks. | This portfolio is not rules-based. It can include anything that appears to be lucrative. |
| Portfolio size | This should be the largest part of the total portfolio, at least 70%.
Target size is 75% or more. | Portfolio size should be within 10%-30% ot the total portfolio.
Target size is 20% | Portfolio size should be less than 10% ot the total portfolio.
Target size is 5% or less. |
| 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. |
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The Global Momentum strategy is changed. The reason is that Ex Us Stock ETF's are not since 2018 available for EU citizens, making it impractical to emulate with several regional ETF's. Using the top two as stated above is likely to give a better performance, but with higher turnover and fewer transactions. Moreover, and most important, I expect this strategy it be to easier to execute, with less risk of making mistakes.
SvaraRaderaI also removed the turnover goal in the strategy, since the it is mostly dependent on the strategies chosen.
SvaraRaderaChanged from 12 month momentum to average of 3/6/12 month mom in the Global momentum strategy. This will enable a faster response to changing market conditions, but possibly also higher trading frequency. The rationale for the change is that you prefer a steady increase over sudden changes. The ideal is a constant and high rate of return.
SvaraRaderaUpdates:
SvaraRadera1. Added a section in momentum description, describing how to deal with accounts where international bonds are not available.
2. Clarified which currencies that are used in performance measurements.
Also detailed the concept of weekly evaluation and changes of a fourth of the momentum portfolio.
RaderaUpdates:
SvaraRadera1. Added a section in momentum description, describing how to deal with accounts where international bonds are not available.
2. Clarified which currencies that are used in performance measurements.
Updates to Momentum portfolio:
SvaraRadera1. Adding a restriction that only Stock ETF's with performance above Global Stock Market can be selected.
2. Removed Global Stock ETF as a selectable ETF.
This effectively means that a single Stock ETF can be selected, if its performance is strong enough.
Updates to Momentum portfolio:
SvaraRadera1. Adding a restriction that only Stock ETF's with performance above Global Stock Market can be selected.
2. Removed Global Stock ETF as a selectable ETF.
This effectively means that a single Stock ETF can be selected, if its performance is strong enough.
Updates:
SvaraRadera1. Apply global stock market test to the entire portfolio.
2. For Avanza account, invest in SE Bond ETF, or suitable mutual bond fond.
Updates:
SvaraRadera1. Apply global stock market test to the entire portfolio.
2. For Avanza account, invest in SE Bond ETF, or suitable mutual bond fond.