How do we weight Swiss equities?
The Swiss equity market focuses on a small number of large companies. The ten largest companies represent 75% of the Swiss stock exchange capitalization. This means that, if you decide to invest in Swiss stocks, special attention must be paid to diversification and optimization.
The relevant universe for OLZ Optimized Swiss Equities strategies is the SPI (Swiss Performance Index), whereas stocks with little liquidity are excluded. In the OLZ Optimized Swiss Equities strategies we determine the weighting of the individual, liquid stocks in the minimum variance portfolio which shows an efficient risk-return profile. We predict the necessary data to be entered for optimization (variance-covariance matrix) using GARCH models.
In contrast to the global OLZ Efficient World® strategies, optimization in this case is on an individual security level. Minimum investment: CHF 5 million.
