The quantitative scores from research are accumulated into scores for each Economic Standard and then overall country scores. The higher the score, the greater the adherence to the Sustainable Wealth Creation principles. The country scores are converted into an initial target weighting. These weightings are adjusted based on country level liquidity in order to constrain exposure to less liquid countries and to maximize the Sharpe Ratio.
Model portfolios were built using country level indices. For the period starting at the beginning of 2003, the forward-tested model used the applicable country level index. Target weightings were, and continue to be, determined monthly. The forward-tested model was, and continues to be, rebalanced to the target weightings each month.
Client portfolios use country level funds, such as ETF’s. If multiple country level funds are available in a particular country, the one offering the best combination of low tracking error and high liquidity is used. In a few countries, none of the country level funds meet Magni requirements and those countries are not included in the portfolios. Magni periodically reviews its country level fund selections and makes changes as appropriate. The client portfolios are built using the same global investment process as the model portfolios.