Is a question of strategic decisions and tradeoffs to maximize investment return at a given risk level, based on financial information currently available. Quantitative techniques use historical data (prices, returns, volumes, etc.) to make investment decisions.
The underlying universe for the portfolio allocations includes many kind of securities (equities and ETFs). By combining these instruments in different ways, you can construct all possible portfolios, representing the "whole universe".
Only private clients can open an CABEPB account (no companies/asset managers).
The minimum amount to open CABEPB account is 20,000 ( CHF, EUR or USD).
No, the investment strategy can be stopped at any time. Please note, however, the investments in shares should be made over a long-term horizon.
The universe is the collection of all admissible investment instruments.
To be eligible for inclusion in the universe, assets must have sufficient market data available.
Additionally, assets need to meet specific liquidity requirements set by CABEPB in order to be selected for the final investment universe.
Stocks from the following markets:
Switzerland: about 50 (SMI / SMIM)
Germany: about 130 (Dax / MDax / SDax)
Europe: about 220 (Euronext 100 / Next 150, Portugal not included)
Please note that some stocks can be excluded due to special foreign trading restrictions (e.g. stocks listed in Hong Kong, Poland, Romania, Brazil or Norway).
Exchange Trade Fund (ETF) a security that tracks an index, a commodity or a basket of assets like an index fund but trades like a stock on an exchange.
Before clicking on "Invest", you can see the list of all assets in your portfolio.
Once an allocation is made, the list of purchased assets is visible in the account overview.
It is possible to define specific assets that should be included (white list) or must be excluded (black list) from the investment universe. The algorithm can invest up to 25% of the portfolio value in the assets that belong to the white list. Securities in the white list are not guaranteed to be in the portfolio. As the portfolio has a global risk constraint the allocation model may not be able to include them.
You can choose the reallocation frequency from the options of 1, 3, 6 or 12 months. When the
strategy parameters are modified, a reallocation is then triggered immediately. The portfolio is
tested each week with a CVaR check to ensure it remains in the predefined risk range. If not, the
portfolio is reallocated immediately, independently of the chosen reallocation frequency.
A reallocation can also be triggered manually. The reallocation will then be performed immediately in order to construct the new optimal portfolio.
Instead of being directly sent to a stock exchange, orders are executed based on sophisticated in-house algorithms. The system takes into account the volumes and prices in the limit order book and places orders to achieve the best possible prices according to the algorithm. If a limit order is not executed after a certain time, the system will automatically update the limit so that the order can be executed.
Yes, once a strategy has been selected you can decide to change it, modify the strategy parameters or even abort the strategy. If the strategy is stopped, the system will ask the user whether to keep or sell the assets held in the portfolio.
It takes a maximum of 36 working hours.
Conditional Value-at-Risk is an alternative downside risk measure to Value-at-Risk (VaR). It is more conservative than VaR. The CVaR is the average of all the losses below the VaR. Value-at-risk is a statistical measure of the market risk of an investment instrument. For example, a VaR of -2% means that for a week holding period, the probability of losing more than 2% of your portfolio value is 5%. Conversely, there is a 95% probability of not losing more than 2% of your portfolio value during one week.
By combining a wide variety of different investment instruments in a portfolio, it is possible to reduce the aggregated risk. Because the fluctuations of a single security have less impact on a well-diversified portfolio, diversification minimizes the overall risk of an investment.