28 Dic MIMS – DIVERSIFIED PASSIVE SELECTION FUND (REPORT DECEMBER 2022)
The fund is composed of a range of Exchange Traded Funds selected by the Portfolio and Quantitative Research (Risk) teams. These ETFs aim to replicate as closely as possible the performance of a basket of securities with specific common properties, thus being effective instruments for investors who wish to express a certain view on industry sectors or economic trends whilst capturing as little idiosyncratic risk as possible.
Our second report of the semester presents a SAA which implies a more constructive view on fixed income and a cautious approach to equity after a painful year both for equities and bonds. Our previous underweight in credit and duration has been relaxed but not abandoned. We cut the exposure to dirty energy after one of the best years for the fossil fuels industry. An 80% OTM put on the SPX has been included and also on the Nikkei in order to be protected in case of a messy exit from the YCC policy before April.Download PDF