Description

The fund tracks an index of six major Canadian banks. What sets this fund apart from its competitors is its use of a variable-weight, mean reversion trading strategy. To employ this strategy, the fund starts by capturing the top six Canadian banks listed on recognized Canadian exchanges by market capitalization. These six banks are then weighted so that 80% of the portfolio is equally invested among the three banks that have underperformed, and 20% is invested among the three banks which have outperformed. Performance is measured based on the percent difference between each banks stock price and its 50-day average price. This process is repeated monthly at each rebalance date.