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Long position. Part of our passive small cap healthcare investment strategy. The initial position (~6% of our portfolio @ leverage of 1) is based on our selection of the smallest cap stocks in the S&P 500 Healthcare index in the same proportion as the stock's share of the whole index. The limit of a stock's weight in our portfolio is 15% and rebalancing will be accordingly.
Initial short positions of the fund will be based on the worst-performing stocks of S&P500 in 2019. Mylan among the worst-performing stocks and will have an equally weighted share within the fund.
Long-short 12 month momentum S&P 500. Equal weight. This stock was on 14.1.2020 at 19.15 (Eastern European) in the worst 10 performers of S&P 500 of the past 12 month period. Rank 8.
According to the fund's strategy, we sell short 5 % of the S&P 500 large-cap firms that have the highest p/e ratios (i.e. total 25 firms).