Minerva Investment Management Society

Fund Update · Diversified Passive Selection Fund

Diversified Passive Selection Fund - December 2022

· Portfolio Management · Diversified Passive Selection Fund

Open the PDF Download

Summary

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.

Authors

  • Gianluca CaffiPortfolio Manager
  • David PermuttiPortfolio Analyst
  • Heeseong JeongPortfolio Analyst
  • Daniele BiondiPortfolio Analyst
  • Edoardo PelliPortfolio Analyst
  • Daniele CutiniHead of Asset Management
  • Tobia BoselliHead of Portfolio Management

Details

Published
28 December 2022
Division
Portfolio Management
Fund
Diversified Passive Selection Fund
Type
Fund Update
Pages
16
Authors
7

Cite this report

Minerva Investment Management Society (2022). Diversified Passive Selection Fund - December 2022. Portfolio Management. https://minervaims.org/archive/diversified-passive-selection-fund-december-2022

Related reports