LIMEYARD Absolute Alpha Switzerland (GTR)

The LIMEYARD Absolute Alpha Switzerland implements a systematic long/short strategy that combines four selected LIMEYARD factor-weighted indices, with the aim to extract risk premia and deliver returns in excess of the market portfolio.

Key Features
 
Universe The LIMEYARD Absolute Alpha Switzerland is a fixed-component index within a quarterly rebalancing period that aims to build an outperforming model portfolio (in relative terms, against the market portfolio given by the the LIMEYARD Swiss Market Benchmark).

The LIMEYARD Absolute Alpha Switzerland implements a long/short strategy that goes long the factor index component shorts the traditional market-cap benchmark.

The LIMEYARD Absolute Alpha Switzerland implements a portfolio construction methodology that aims at creating a portfolio strategy based on a combination of non-cap-weighted LIMEYARD factor-selected indices. Based on a stochastic portfolio theory (SPT), the goal is to extract risk premiums from each of the four factor indices selected in the analysis (the LIMEYARD Low Risk Factor, the LIMEYARD Momentum Factor, the LIMEYARD Quality Factor, and the LIMEYARD Value Factor). At the same time, the LIMEYARD Absolute Alpha Switzerland mitigates factor cyclicality by adopting a systematic long-short approach and an optimized portfolio in allocating across the various factors.

The LIMEYARD Absolute Alpha Switzerland delivers solid outperformance in the medium- and long-term investment horizons. At the same time, while the 12% volatility targeting protects the portfolio against market drawdowns, a dynamic zero-beta hedging strategy insulates the portfolio from systematic risk disturbances.
Weighting scheme Factor weighting
Type of calculation End of day
Review Semi annual
Index
Last close
Change
MOM
LYCHAASG
520.29
-0.48%
-4.54% Compare
 
Index Parameters

Market Capitalisation values are updated daily

Launch Date 12 Jul 2017
Calculator LIMEYARD LTD
Dissemination End of Day
Dissemination Period - CET
TypeLong/Short Index
CurrencyCHF
Components107
Base Date24 Sep 2007
Base Value 100
Full Market Cap
Free Float market Cap
Next Review
Non Dissemination Days

01/01/2018

02/01/2018

30/03/2018

02/04/2018

01/05/2018

10/05/2018

21/05/2018

01/08/2018

25/12/2018

26/12/2018

Identifiers
Price Return
Net Total Return
Gross Total Return
ISIN
Sedol
WKN
Bloomberg
Reuters
Telekurs
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CH0397641223
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Components
The LIMEYARD Absolute Alpha Switzerland (GTR) counts currently 111 components.

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Date: Sun Dec 16 06:41:24 CET 2018
out of: 0
Components
Currency
Country
Weight
Sector

Factsheet

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LIMEYARD Absolute Alpha Switzerland (GTR) (CHF)

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Composition

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General information

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Component information

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History

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