BVC

Une version navigateur du modèle à trois états d’Akdital : modifiez la croissance, les marges, le capex, le BFR, le WACC ou la valeur terminale et suivez la valeur d’entreprise, la valeur par action, l’upside, la sensibilité et les contrôles de bilan.

A rules-based 15-name BVC portfolio compounded at 9.7% net against a 5.0% cap-weighted benchmark, a 4.7% annual excess with a 0.63 information ratio. Brinson-Fachler attribution puts 5.3 points on sector allocation and 3.0 on selection, while interaction (-1.7) and costs (-1.9) take back about two-fifths of the gross 8.3. A Newey-West regression on momentum, value, quality, size and low-vol leaves an alpha of +0.1% (t = 0.05). The excess is a systematic sector and factor exposure, not stock-picking skill — and 2024 alone supplies a large share of it.

Momentum is the only factor with a positive, significant premium after excluding microcaps: 6.7% net CAGR, 0.67 Sharpe, 0.078 IC. Size earns 0.5%, the value proxy -5.8%, low-vol -5.9%. But a 10-name long-only implementation caps out around 2.5M MAD at 10% of ADV. The factor is real; the capacity is not.

The BVC is thin. Median ADV is 0.83M MAD; the median stock needs 57 days to exit a MAD 5m position at 10% of ADV. Even ATW needs 1.3 days. 84% of names are red-flagged, 68% have a variance ratio below one, 87% show ARCH effects, and the first principal component of log Amihud explains 58% of liquidity variation. A daily-data liquidity audit, with the limits stated.

A 38-year-old household with 300,000 MAD saved and 8,000 MAD a month funds a property down payment, four years of university and retirement from one portfolio. Using real BAM, BVC, gold, USD/MAD and World Bank inflation data, 10,000 monthly paths, and Moroccan tax drag from the CGI, the diversified plan succeeds 63.4% of the time. The bank deposit funds the house and the degree but only 46.5% of retirement, exhausting the portfolio around age 75. Taxes cost 16 points of success; inflation is the largest single risk.