Methodology

What is disclosed

The holdings and their weights, realised and backtested performance, the risk rule below, and the sector profile of the book.

What is not

The selection model, the signals that feed it, how those signals are weighted, and how weightings change with market conditions. Published figures are outcomes; the process that produces them is proprietary.

Construction

• Universe. Large-cap US equities.
• Book size. Fifty positions.
• Rebalance. Quarterly.
• Sizing. Weighted, with a cap on any single position so the book cannot concentrate into one name.

Risk rule

A trailing stop of -- applies to every position.

Backtest

Walk-forward over --. At each rebalance the strategy is given only data that existed on that date, and is scored on the quarter that followed. Delisted companies remain in the historical universe, so the record is not survivorship-biased. Figures are gross of fees, taxes and market impact, and a backtest is not a live track record.

Publication delay

Positions are published on a delay. The badge at the top of each page states the as-of date of the book being shown and how old it is.

Prices

Prices on the Portfolio page refresh on a schedule after the US close. They are shown for reference and are not used to restate any performance figure.