Investing

Model portfolio rules and maintenance

XTB High Yield Model PortfolioHigh Yield Model Portfolio

Quantitative rules

All bonds in XTB universe:

  • After meeting the portfolio parameters, a base case portfolio will be defined as the Portfolio Base Case (PBase)
  • Portfolio Base Case (PBase) will consist of four XTBs, removing the following:
    • The XTB with the highest YTM
    • Any XTB where the ‘Change in Credit Spread’ has moved by more than (30%) in the previous two months, where the Change in Credit Spread = XTB Asset Swap – Aust Itraxx
  • XTBs will be added to PBase to create Portfolio Final (PFinal)
  • PFinal shall not have a YTM less than 95% of PBase
  • Where PFinal does not meet Portfolio Parameters:
    • Maximum individual issuer exposure, and/or
    • Maximum individual sector weighting, an XTB will be selected from the next available XTB within the YTM ranking table

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 on 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 percentage 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 portfolio


Maturity LadderMaturity Ladder Model Portfolio

Quantitative rules

All bonds in the XTB universe:

  • Rank all XTBs in increasing maturity.
  • Select 1 XTB with a minimum tenor of 1 year to maturity (for example, if the model portfolio is reviewed on 24 May 2016, select the first XTB with a maturity in 2017) and with the highest yield available
  • Select 1 XTB from the following calendar year (2018) and repeat assuming the next XTB has a maturity greater than the XTB selected with a 2017 maturity
  • Repeat for each year
  • Where the security issuer has more than 1 XTB, select the XTB with the highest yield available

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 for the XTB on ASX (i.e., no underlying bond liquidity will mean no XTB liquidity on ASX and so a portfolio change to that XTB may not be made)
  • Only increase the number of XTBs in the portfolio, if it increases the YTM by 5% (as a percentage of the rate. 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)

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Cash PlusCash Plus Model Portfolio

Quantitative overlay rules

All Floating Rate XTBs:

  • Rank the Floating Rate XTBs by highest relevant BBSW + Trading Margin
  • Overlay the income payment schedule for each Floating Rate XTB
  • Ensure the portfolio has an income payment for each month
  • Select the highest relevant BBSW + Trading Margin

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 portfolio


ACB_XTB_Concentrated_high_yield_IconConcentrated High Yield Model Portfolio

Quantitative overlay rules

All bonds in XTB universe:

  • After meeting the Portfolio Parameters, a base case portfolio will be defined as the Portfolio Base Case (PBase)
  • Portfolio Base Case (PBase) will consist of five XTBs, with the highest yield to maturity
  • Any XTB will be removed where the ‘change in credit spread’ has moved by more than (30%) in the previous two months, where the Change in Credit Spread = XTB Asset Swap – Aust Itraxx. An XTB will be selected from the next available XTB within the YTM ranking table

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% (a percentage of the rate)

More about this portfolio

High Yield Model Portfolio

Find out more about this model portfolio of XTBs

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Maturity Ladder Model Portfolio

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Concentrated High Yield Model Portfolio

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Cash Plus Model Portfolio

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