The following are the rules and maintenance criteria for XTB Starter Portfolios.
High Yield rules and maintenance criteria
Cash Plus rules and maintenance criteria
Top Brands rules and maintenance criteria
High Yield Starter Portfolio
Portfolio Manager
Australian Corporate Bond Company
Investment Strategy and Approach
To ensure the best opportunity to meet the starter portfolio’s objectives, ACBC selects a portfolio of XTBs using a 2-stage quantitative process, with a qualitative overlay.
Quantitative process
Stage 1: Selection
Define the investment universe of securities using the following criteria:
- Rank from highest yield to maturity
- Investment grade credit only¹
- Weighting parameters (issuer, security², sector²)
- Available liquidity
¹ At the time of investment decision
² As defined by GICS Sub Industry
Stage 2: Application
Apply a set of rules to select an optimal High Yield starter portfolio.
Qualitative overlay
Adjustments may be made to the starter portfolio. These adjustments may be made to reflect market conditions, despite the rules being satisfied.
The general approach is to hold securities to maturity. However, changes may be made in response to an improvement to the starter portfolio, by switching securities.
Parameters
| PARAMETERS | |
| Investment Universe/Authorised investments | Available XTBs, fixed or floating |
| Target number of securities | 5 |
| Minimum security rating | Individual bonds must be Investment Grade at the time of inclusion within the starter pack |
| Maximum individual issuer exposure | 20% |
| Maximum individual security weighting² | 20% |
| Maximum individual sector weighting² | 20% |
| Capital structure parameters |
|
| Benchmark | RBA cash rate |
| Liquidity | All XTBs must have sufficient observable liquidity |
| Start Date | 14 July 2016 |
² As defined by GICS Sub Industry
Maintenance of the portfolio
- The portfolio will be reviewed monthly on the second Wednesday of each month
- All changes in the portfolio will be made in expectation of the bid and offer of the XTB on ASX
- Only switch an XTB (sell an XTB and buy a new XTB), if it increases the YTM by 5% (as a percentage of the rate)
More about this Starter Portfolio
Cash Plus Starter Portfolio
Portfolio Manager
Australian Corporate Bond Company
Investment Strategy and Approach
To ensure the best opportunity to meet the starter portfolio’s objectives, ACBC selects a portfolio of XTBs using a 2-stage quantitative process, with a qualitative overlay.
Quantitative process
Stage 1: Selection
Define the investment universe of securities using the following criteria:
- Select Floating Rate XTBs only
- Rank from highest Trading Margin
- Identify the income payment dates (monthly)
- Investment grade credit only¹
- Available liquidity
¹ At the time of investment decision
Stage 2: Application
Apply a set of rules to select an optimal Cash Plus Starter Portfolio.
Qualitative overlay
Adjustments may be made to the Starter Portfolio. These adjustments may be made to reflect market conditions, despite the rules being satisfied.
The general approach is to hold securities to maturity. However, changes may be made in response to an improvement to the Starter Portfolio, by switching securities.
Parameters
| PARAMETERS | |
| Investment Universe/Authorised investments | Available Floating Rate XTBs |
| Target number of securities | 3 |
| Minimum security rating | Individual bonds must be Investment Grade at the time of inclusion within the starter portfolio |
| Maximum individual issuer exposure | 35% |
| Maximum individual security weighting² | 20% |
| Capital structure parameters |
|
| Benchmark | RBA cash rate |
| Liquidity | All XTBs must have sufficient observable liquidity |
| Start Date | 14 July 2016 |
Maintenance of the portfolio
- The portfolio will be reviewed monthly on the second Wednesday of each month
- All changes in the portfolio will be made in expectation of the bid and offer of the XTB on ASX
- Only switch an XTB (sell an XTB and buy a new XTB), if it increases the Trading Margin by 5% (a percentage of the rate)
More about this Starter Portfolio
Top Brands Starter Portfolio
Portfolio Manager
Australian Corporate Bond Company
Investment Strategy and Approach
To ensure the best opportunity to meet the starter pack’s objectives, ACBC selects a portfolio of XTBs using a 2-stage quantitative process, with a qualitative overlay.
Quantitative Process
Stage 1: Selection
Define the investment universe of securities using the following criteria:
- Rank the top 100 Australian Brands, from the highest Yield to Maturity
- Investment grade credit only¹
- Weighting parameters (issuer, security, sector²)
- Available liquidity
¹ At the time of investment decision
² As defined by GICS Sub Industry
Stage 2: Application
Apply a set of rules to select an optimal Top Brands Starter Portfolio.
Qualitative Overlay
Adjustments may be made to the Starter Portfolio. These adjustments may be made to reflect market conditions, despite the rules being satisfied.
The general approach is to hold securities to maturity. However, changes may be made in response to an improvement to the Starter Portfolio, by switching securities.
Parameters
| PARAMETERS | |
| Investment Universe/Authorised investments | Available XTBs, fixed or floating |
| Target number of securities | 5 |
| Minimum security rating | Individual bonds must be Investment Grade at the time of inclusion within the starter portfolio |
| Maximum individual issuer exposure | 20% |
| Maximum individual security weighting² | 20% |
| Maximum individual sector weighting² | 20% |
| Capital structure parameters |
|
| Benchmark | RBA cash rate |
| Liquidity | All XTBs must have sufficient observable liquidity |
| Start Date | 16 November 2016 |
Maintenance of the portfolio
- The portfolio will be reviewed monthly on the second Wednesday of each month
- All changes in the portfolio will be made in expectation there can and will be a bid and offer of the XTB on ASX (no underlying bond liquidity will mean no XTB liquidity on ASX and so a portfolio change to that XTB may not occur)
- Only increase the number of XTBs in the portfolio if it increases the YTM by 5% (as a % of the rate, e.g. 3.50% to 3.68%)
- Only switch an XTB (sell an XTB and buy a new XTB), if it increases the YTM by 5% (as a percentage of the rate)
More about this Starter Portfolio
