Three large companies dominate the Swiss equity market: Nestlé, Novartis and Roche. In terms of market capitalization, the "Big3" account for around 50% of the total market over the past 15 years. This concentration is not without its problems and raises a number of questions, particularly with regard to diversification. Nevertheless, for many investors the size of the three stocks alone gives them a special status and systematic exclusion seems almost unthinkable for most. But what does it really look like? How dependent is a portfolio on the "Big3"? How big is their contribution to the risk of the portfolio? What impact does exclusion have on portfolio performance? And last but not least: Is it permissible to go so far as to completely dispense with these three companies?
Below we show how a systematic exclusion of the three large SPI stocks affects the OLZ Minimum Variance portfolio. We calculate two variants of our Swiss equity model: one based on the normal SPI universe ("OLZ Eq CH Opt") and the other excluding Nestlé, Novartis and Roche ("OLZ Eq CH Opt excl Big3"). The benchmark is both the SPI and a rescaled variation excluding the three large stocks ("SPI excl Big3"). The results for the period 2003 to 2019 are shown in the following two tables: