Georg,
I am not making any comments on the merits of the strategy, I am simply saying that the strategy / index was created for lower vol (higher risk adjusted returns). The ranking system applied to the ‘universe’ to pick a small number of stocks is likely to have very different volatility characteristics and risk profiles. You are not able to backtest over time easily (due to lack of historical universe), so it’s very hard for you to say what this is.
I wish you and the followers great success and hope it does wonderfully.
Best,
Tom