@Locus sorry that I failed to clarify, here's another try. There's 3 elements to DWEX, one similar to any other DARWIN portfolio you can build as a "standard" user, and 2 that are unique to DWEX (as a prototype product for future product evolutions
Standard element: DWEX is in principle a DARWIN portfolio. Any DARWIN meeting the filter admission criteria on day t is in the mix with a pro-rata mix (e.g. 1/40 capital allocation if there's 40 DARWINs on that day) for t+1. To the extent that most of the DARWINs are pretty uncorrelated, this results in a significant diversification benefit (e.g. DWEX has a VaR significantly below 20% because of this). Also, the more DARWINs in the mix, the larger this diversification mix becomes.
Unique characteristics that make DWEX different
- NET success fee: Investors pay 20% net success fee, unlike today's investors who pay GROSS
- Portfolio level risk manager: in addition to the DARWIN level risk management of the underlying DARWINs, there is a dedicated portfolio level risk manager that monitors DWEX leverage and actively manages market exposure to yield the target 6% VaR
The second element is unique about DWEX and acts IN ADDITION to the standard DARWIN level risk manager. So
* Diversification is part of the story,
* But there is an additional risk manager in DWEX which is currently not implemented in standard DARWIN portfolios
Hope that helped?