In this part, we give you a 10.000eur (for Europe) or 10.000usd (for USA) model portfolio based on the reconciliation of our Investment Level model and our sector allocation model.
In order to limit the number of transactions in the portfolio, we have the following investment process:
- On the first weekly close of each quarter, we buy 3 sector trackers based on our sector allocation model and we keep them for the whole quarter: we buy the 3 sectors with the best score in our sector allocation model.
- We invest 10% of our assets in each sector tracker.
- The net investment level of our portfolio is determined by the Sigma Investment Level. In order to reach the targeted investment level, we use broad market trackers.
- We adapt our net investment level on the first weekly close of each month and we don't change it during the month.
- In some case, we use leveraged trackers. So, we adjust our exposure to this tracker in order to take into account this leveraged effect.
- If the targeted investment level is below 30%, we use broad market short trackers in order to reach the targeted exposure level but we keep the 30% exposure to sector trackers.