Underlying used in Portfolio Strategies


Strategies based on American securities work on stocks whose overall sectorial weight is shown in the chart below. It is possible to see how every sector is equally distributed, not risking any over-exposition in a certain field. This allocation was structured in order to limit risks and benefit from the diversification of the market. In the systems forming the portfolio we mostly used value securities, particularly the Dividend Aristocrats, securities whose beta is lower than the market one with a more stable structure and having an average more controlled draw-downs. Most of the securities are part of the well known S&P100 index, especially the Blue Chips, which, besides having an interesting capitalization, are also cheaper as far as slippage (bid-ask spread) is concerned.



Besides having a good linearity, DA are famous for their properties on dividends; to be part of this niche, the company must have been raising dividends in favor of its shareholders for at least 20 years.



As we can see from the chart, we benefit from a very important incoming cash, on a monthly or quarterly basis, regardless of the performance on the stock exchange market.



All the chose crosses and fixings on the forex market were selected according to liquidity and minimization of slippage. This last aspect cannot be neglected because some forex pairs, especially the most exotic ones, have such a big spread between bid and ask which could denature the development of the strategy itself.



The third sector for diversification belongs to commodities. Systems working on this asset class were conceived on the basis of structures that are more or less complex according to options. We are talking about futures-options structures. The chosen basket for this kind of trading activity is as follows:



In short, all the used underlyings amounting to almost 150 (including securities and not-securities strategies) contribute to the global portfolio process.

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