Same drawdown, more upside: AtonRâ World Multi-Factor goes live

What we are launching

World Multi-Factor is issued as an Actively Managed Certificate in CHF, hedged, with a TER of 0.50%. It joins our existing core strategies, including US Tech 100, Swiss 100 and Europe 600. It is also our first product with ZKB, adding a new tier-1 issuer to our Fundy platform.

The idea behind the strategy is simple: provide broad global equity exposure without replicating the biases of the broad market, while aiming to improve risk-adjusted returns.

The MSCI World is meant to provide broad diversification. In practice, U.S. stocks make up 72% of the index, while the top-10 names account for over a quarter. Buying the index today therefore comes with significant exposure to the same small group of companies.

World Multi-Factor takes a different approach: it keeps a broad global universe and a sector profile close to the market, but lets systematic stock selection determine which companies (and countries) make up the portfolio.

Why we built it

Same sectors, different stocks

We start from every developed-market company above $7bn in market cap and $5mn in daily traded value: 1,911 names across 23 countries and 11 sectors. Sector weights remain very close to the MSCI World. The main geographic difference is the inclusion of Chinese companies listed in Hong Kong, bringing Hong Kong to about 7% of the universe.

Sector weights are then aligned with this universe, with stocks equally weighted within each sector. This is what anchors the risk objective: the portfolio construction avoids large sector bets, so in a sell-off it tends to behave more like the market. The return difference comes from which companies it holds inside each sector.

Country weights, by contrast, are an outcome of the selection, not a target.

Factors, not forecasts

We do not try to predict which style, region or sector will lead next. Fundy scores every stock across complementary factors covering valuation, risk, growth and quality, shareholder returns, macro conditions, sentiment and technical signals. The 55 best-ranked names make up the portfolio, rebalanced monthly by rule.

The portfolio at launch

The initial allocation shows how far a sector-neutral portfolio can sit from the index while maintaining a similar sector profile.

	World Multi-Factor	MSCI World
Japan	~35%	~6%
United States	~45%	~72%
Alphabet	2.2%	4.2%
Micron	5.5%	1.0%
NVIDIA, Apple, Microsoft, Amazon, Broadcom, Meta, JPMorgan, Eli Lilly	0%	~22%
Active share	~95%	–

• AI hardware rather than mega-cap platforms. The five largest holdings, at 5.5% each, are Dell, Micron, Sandisk, Tokyo Electron and Computacenter: memory, storage, semiconductor equipment and servers. Exposure to AI capex therefore comes through suppliers rather than the platforms dominating the index.
• Financials next. Positions at 3.0% each are led by MUFG, Dai-ichi Life, Travelers and Reinsurance Group of America.
• Japan is the largest active tilt. This is not a macro call. It reflects how strongly Japanese companies currently rank on the factor composite score.
• Growth-led, but not at any price. Growth is currently the strongest factor tilt, alongside solid scores on profitability, quality and shareholder yield. The portfolio combines growth with profitable, cash-returning companies.

What the backtest shows

Over almost ten years of simulation, the strategy significantly outperformed the MSCI World while its maximum drawdown remained within half a percentage point of the index. This captures the objective: market-like downside with better upside capture.

Backtest, Nov 2016 – Sep 2026	World Multi-Factor	MSCI World
Annualised return since start	22.4%	11.5%
Annualised return, 5 years	26.1%	9.7%
Annualised return, 3 years	38.1%	19.7%
Maximum drawdown	-34.7%	-34.2%
Volatility, 1 year	16.2%	11.7%
Sharpe ratio, 3 years	2.1	1.3
Beta	0.9	1.0
Tracking error	9.3%	–

Three caveats should be read alongside these numbers:

• Volatility is higher than the index (16.2% vs 11.7% over one year), with 9.3% tracking error. The portfolio will diverge from the MSCI World in both directions. The objective concerns the depth of drawdowns, not day-to-day moves.
• The outperformance was not evenly distributed. From 2016 to 2019, the backtest of the strategy tracked the index closely. Most of the outperformance came afterwards.
• These are backtested results, not live performance. From today, the track record is live.

Where it can go wrong

• A reversal in AI hardware. The top five holdings of the initial portfolio are exposed to memory, storage, semiconductor equipment and servers. A slowdown in AI capex or a turn in the memory cycle would affect them directly.
• A broad tech sell-off. A sharp correction in AI leaders would weigh on the broader developed-market complex. Sector neutrality can limit relative damage, but does not provide absolute protection.
• Japan. At about 35% of the initial portfolio, Japanese equities can drive a significant part of relative performance. The CHF hedge removes most of the yen effect, not the equity-market risk.
• Trade policy and rates. New tariffs, export controls or higher-for-longer rates could pressure earnings and valuations.
• Style rotation. Multi-factor portfolios can lag during sudden reversals, while crowding across systematic strategies can deepen short-term drawdowns.

 

Key terms

Term	Detail
ISIN	CH1511291952
Structure	Actively Managed Certificate
Issuer	Zürcher Kantonalbank (AAA/Aaa/AAA)
Currency	CHF (hedged)
Launch date	29 September 2026
TER	0.50% p.a., of which 0.25% management fee
Performance fee	None

Our takeaway

World Multi-Factor is built to sit at the core of a portfolio, next to or instead of an MSCI World tracker. It maintains a similar sector profile but holds a very different set of stocks: with about 95% active share, it adds diversification where global indices have become increasingly concentrated. Fundy's systematic selection is where we aim to add return.

For the factsheet, termsheet or a presentation of the strategy, contact your AtonRâ representative.