A starting universe
WERIN starts from a reference index that represents the chosen geographical zone: STOXX600, S&P500, CAC, CSI300, and so on. This perimeter guarantees liquidity, accounting quality and market representativeness.
WERIN Methodology
How WERIN builds your portfolio.
A rigorous method, made clear. Without giving everything away — the essentials are here.
1 — Stock selection
How WERIN selects stocks.
A reference universe, criteria you weight yourself, multi-criteria ranking, and at the end: an ordered short-list.
Your criteria, your weights
Eleven families of criteria are available: profitability outlook, financial safety, ROE, analyst recommendations, ESGC, operational performance, dividends, size, total risk, beta, momentum. You weight what matters to you.
Multi-criteria ranking
Each stock is ranked on each selected criterion, then the whole is aggregated according to your weights. The result is an ordered, auditable ranking — not a black box.
Additional filters
Three filters refine the selection: geographical zone, Growth/Value orientation, and sector diversification configurable across three levels (low, moderate, high).
Output: the top N stocks
WERIN ultimately retains the N highest-ranked stocks given your combination — no more, no less.
2 — Weighting
How WERIN weights stocks in the portfolio.
Three weighting modes, and one explicit choice: robust simplicity over sophisticated optimisation.
Equal weighting
Each stock receives the same weight. A neutral, readable approach that maximises the diversification benefit within the selection.
Size weighting
Stocks are weighted by market capitalisation. Reflects the actual economic weight of the companies selected.
WERIN choice
Size weighting capped at 1.5× the equal-weighted level. Preserves the capitalisation logic while preventing excessive concentration on the largest names.
3 — Transaction costs
How WERIN factors in transaction costs.
A performance number is only meaningful if it accounts for what it actually costs to hold the portfolio.
Counted at design AND at every rebalance
Costs are not applied only at purchase: they are factored in at every rebalance, just like in real life.
User's choice
Either you specify a custom fee percentage matching your broker, or you let WERIN apply a standard grid, calibrated by geographical zone and transaction size.
A realistic performance figure
This integration is what separates WERIN from a theoretical 'fee-free' back-test. The result reflects what an investor can actually obtain — not an idealised gross return.
4 — Performance measurement
How WERIN measures performance.
A single reference metric, and a systematic comparison across three portfolios.
Jensen's alpha
WERIN uses Jensen's alpha as its main performance measure. It captures a portfolio's outperformance against its index at equivalent risk — which, economically speaking, is the only outperformance that really matters.
Three portfolios, always
Every analysis systematically compares three portfolios: the target portfolio (your configuration), the comparison portfolio (the opposite configuration on your criteria), and the reference index. This triangulation is deliberate: it lets you judge the added value of both the method and the configuration.
Historical backtesting
Analyses are based on historical data starting from 31/12/2016, or from a more recent date when the chosen criteria (dividends, momentum) require additional history to be reliable.
5 — Risk measurement
How WERIN measures risk.
Three complementary measures — combined with care — plus a sector diversification indicator.
Total risk — volatility
Measured as the standard deviation of annual returns. The simplest, most direct view of how dispersed possible outcomes are.
Systematic risk — beta
Sensitivity of the portfolio to global market events. Beta is adjusted so that its average across the universe equals 1, making cross-universe comparisons consistent.
Specific risk
Diversifiable risk, specific to the selected stocks. Derived from total risk once the systematic component has been stripped out.
Sector diversification
Measured via the Herfindahl-Hirschmann index applied to the portfolio's sector weights. The lower the index, the more balanced the allocation.
6 — Rebalancing
How WERIN decides to rebalance.
Five configurable triggers, a default preset, and two cases of spontaneous rebalancing.
Five configurable triggers
Monthly Jensen's alpha
Rebalance triggered when monthly alpha falls below a defined threshold.
Negative gross return
Rebalance triggered when the portfolio's gross return turns negative.
Minimum % of stocks affected
Minimum share of stocks losing relevance required to activate a rebalance.
Loss of fit vs criteria
Rebalance triggered when the selection drifts too far from the originally configured criteria.
Fixed periodicity
Systematic rebalance at a regular interval, regardless of other signals.
Default WERIN preset
If you don't configure anything, WERIN applies: −0.2% monthly alpha + negative return + 10% minimum stocks affected + rebalance every 3 months.
Spontaneous rebalancing
WERIN also triggers a spontaneous rebalance if a stock leaves the reference index (a liquidity or representativeness signal) or if it is delisted.
7 — Growth vs Value
Growth vs Value: a useful classification.
WERIN classifies companies on several metrics — market capitalisation, debt level, growth, dividend distribution, and so on — to distinguish Growth profiles from Value profiles and let you steer your selection.
8 — Limits & disclaimers
What WERIN is not.
9 — Going further
Four technical notes and detailed documentation.
The methodological notes go deeper into the key concepts. The detailed documentation explains every field and every output.
Methodological notes
Return and risk of a stock portfolio
How return and risk are built, and why correlation between stocks matters as much as individual volatility.
Portfolio optimisation
Why WERIN does not offer mean-variance optimisation — a deliberate choice of robust simplicity.
Portfolio performance measures
Why WERIN uses Jensen's alpha and how to interpret it over time.
Growth vs Value
How WERIN distinguishes growth companies from value companies, and why it matters.
Detailed documentation
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