Portfolio name
For example: "MyFirstPortfolio".
User documentation · Fields
Understand every parameter.
Every field of the portfolio design form, explained in detail by Patrick Sentis, founder of WERIN.
Table of contents
Table of contents
Five sections, in form order.
Section 1
General information
The two fields that identify your portfolio and set the back-testing start date.
Start date
Specify a back-testing start date. Performance measurement of your portfolio configuration will start on this date, as if you had held it ever since.
Section 2
Which geographical area do you want to invest in?
Select one of the available areas. With a few exceptions, each area corresponds to a major benchmark index.
Europe
≈ STOXX600, around 600 stocks.
Eurozone
Subset of Europe, around 150 stocks denominated in euros.
United States
≈ S&P500, around 500 stocks.
France
CACALLTRADABLE, around 200 stocks.
PEA-PME
Subset of France, around 120 stocks.
China
CSI300, 300 stocks.
Areas are not fungible: only one per portfolio.
"Ignore exchange rate" checkbox
If checked, amounts are denominated in the currency of the area (USD for the United States, for example). If unchecked, everything is in EUR by default.
Section 3
Financial parameters
The notional amount invested, the number of portfolio lines, transaction costs and the treatment of fractional shares.
Amount invested
Greater than €5,000 (algorithmic consistency). This is a notional amount, with no commitment on your side.
How many stocks
At least 5 lines (below this, risk concentration becomes too high). The maximum depends on your subscription.
"Include transaction costs" checkbox
If checked, performance metrics include costs at portfolio inception and on each revision. These costs are not real — they are used solely for analysis.
Transaction cost percentage (optional)
Percentage applied to the amounts traded. If left empty, WERIN applies the standard schedule below.
WERIN standard transaction cost schedule
Four universes, with thresholds by portfolio and transaction size.
Stocks denominated in euros
Portfolio ≤ €50,000
| Transaction | Applied cost |
|---|---|
| Transaction ≤ €500 | €2 flat |
| Transaction > €500 | 0.6% |
Portfolio > €50,000
| Transaction | Applied cost |
|---|---|
| Transaction ≤ €7,750 | €16.65 flat |
| Transaction > €7,750 | 0.3% |
Non-euro European stocks
All portfolio sizes
| Transaction | Applied cost |
|---|---|
| ≤ €1,000 | 2% |
| €1,000 – €4,000 | 0.6% |
| > €4,000 | 0.3% |
U.S. stocks
All portfolio sizes
| Transaction | Applied cost |
|---|---|
| ≤ €1,000 | 1.5% |
| €1,000 – €4,000 | 0.25% |
| > €4,000 | 0.13% |
Chinese stocks
All portfolio sizes
| Transaction | Applied cost |
|---|---|
| ≤ €1,000 | 3% |
| €1,000 – €4,000 | 1% |
| > €4,000 | 0.5% |
Ignore fractional shares
By default, fractional residuals are kept as cash.
Example: €1,000 to allocate on stock A priced at €17 yields 58 shares, that is €986 invested and €14 of residual cash kept.
If you check "Ignore fractional shares", the portfolio value no longer matches the stated invested amount, but performance is computed only on actual stocks. Drawback: the portfolio size becomes marginally variable and the gap grows over time.
Section 4
Criteria importance
Pick at least 1 and at most 5 criteria. For each, assign a weighting from 0 (indifferent) to 4 (very important).
The twelve available criteria, in form order.
Future profitability outlook (WERIN metric)
Proprietary metric combining fundamental analysis and market sentiment. It estimates the profitability outlook by comparing adjusted fundamental values to current prices.
This metric does not promise positive profitability.
Financial soundness of the company
WERIN composite combining the level of financial debt and the interest coverage ratio.
Financial profitability of the company
ROE — net income divided by shareholders' equity.
This measure can be misleading when the company is undercapitalised, heavily indebted, or exposes a high business risk.
Recommendation
Buy / sell / hold recommendations from specialist financial analysts.
A recommendation is not enough on its own.
Company ESGC performance
Environmental, Social, Governance and Controversies score.
Operational performance of the company
Net income per employee, adjusted to the sector median.
Strong sector sensitivity — this metric is adjusted but remains dependent on the sector context.
Dividend distribution
Historical yield computed on a rolling year: dividends paid divided by the start-of-year share price.
Dividend Yield Est
Analyst forecast for the 1-year yield.
Company size
Weight 4 = large caps preferred, 1 = small caps preferred. Linked to the size effect (in theory, large caps would be less risky but less profitable — a debated view). Useful, for example, in the PEA-PME area.
Accepted total risk level
Volatility — standard deviation of annual returns.
Selecting low-total-risk stocks does not guarantee a low-total-risk portfolio: correlations between stocks (covariances) come into play. See the note "Profitability and risk of a stock portfolio". See the note « Profitability and risk of a stock portfolio ».
Accepted systematic risk level (beta)
Sensitivity to global events: reforms, rates, crises. Non-diversifiable risk. A low beta is useful in periods of uncertainty. WERIN adjusts beta so that the average beta of the universe equals 1.
Momentum
Trend in a stock's profitability. Several studies show non-fundamental upward or downward inertia (market anomaly, mimicry). Available measures: 1, 3, 6, 9, 12 months (direct, unadjusted estimate). If this criterion is selected, the "Period (momentum)" field must be filled in.
Section 5
Advanced options
Weighting, economic orientation, diversification, revision criteria and the special case of spontaneous revision.
Per-stock investment proportion
Three options are available.
Size weighting
The amount invested in each stock is proportional to the company's size. Optional field "Maximum weight per stock" (for example 0.2 = 20% maximum). This maximum weight must be greater than or equal to equal weighting.
Equal weighting
Identical amount invested per line. With 8 stocks, each line represents 12.5%.
Proportion chosen by WERIN
Size weighting with a maximum capped at 1.5 times equal weighting. With 8 stocks, the maximum is 18.75%.
Economic orientation
Two families of companies, distinguished by WERIN through several metrics. See the note "Growth vs Value". See the note « Growth vs Value ».
Cyclical ("value" stocks)
Mature companies that follow economic cycles, exhibit a high beta, pay dividends and use financial debt to boost their profitability.
Counter-cyclical ("growth" stocks)
Companies in a growth phase, heavily capitalised, with low debt, that carry out heavy investments and pay few dividends.
Opposition (1 if Yes)
If you have chosen an orientation, this parameter defines the composition of the comparison portfolio.
- 1 = opposition portfolio made of stocks from the other sub-set.
- Empty = opposition portfolio in the same sub-set but at the bottom of the ranking.
Diversification level (optional)
Three available levels.
1 — standard
At least 5 stocks in different sectors.
2 — medium
All stocks in different sectors when possible.
3 — maximum
All stocks in different sectors and equivalent amount invested per sector.
Default: level 1 (except in the "expert" area, where the field is left empty).
Portfolio revision criteria
Five possible parameters, which can be combined.
Portfolio profitability: if the loss reaches the maximum acceptable, a revision is triggered
Triggers a revision when the monthly Jensen alpha falls below the "Maximum accepted loss" limit. Example: −0.002 corresponds to a performance of −0.2% relative to the benchmark.
Revision if profitability is negative
Triggers a revision if the gross portfolio performance is negative.
Minimum revision percentage
Minimum threshold of stocks to be replaced. Example: 0.2 = at least 20% of the relevant stocks. With 8 stocks, this represents at least 2 lines.
Stock selection: as soon as a stock no longer matches the criteria, it is replaced
Continuous self-correction of the portfolio.
Periodic revision
Lets you schedule the revision frequency through the "The portfolio will be revised every X months" field.
"Let WERIN choose the revision criteria"
If you let WERIN decide, the following settings are applied:
- Maximum accepted loss: −0.002 (checked).
- Revision if profitability is negative: checked.
- Minimum revision percentage: 0.1.
- Periodic revision: 3 months (checked).
Special case — Spontaneous revision by WERIN
If a stock leaves the WERIN database, a revision is automatically triggered:
- Index removal — liquidity or representativeness issue, not necessarily a sign of financial difficulty.
- Delisting — interruption of trading.
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