Performance

Since the published rebalance

The benchmark is SPY, the S&P 500 ETF, at its own closing prices — the number on any quote screen. Raw closes, so it is a price return with dividends excluded, which is the same basis the portfolio is measured on; crediting the benchmark with its distributions and the portfolio with none would understate the portfolio. Both sides always end on the same trading day: when the price feed for one lags the other, the window is cut back to the last date both have rather than giving either side an extra day.

Signal variants

The same fifty holdings, sized by different signal emphases. This compares how each variant has performed; the weighting schemes themselves are not disclosed. Each card runs from its own booking date, shown on the card, so a variant booked a session later covers one fewer session.

Walk-forward backtest

Full record

All-time record

Year-end values only, drawn from the frozen record.

By time window

Point-in-time: each rebalance uses only information available on that date, and the forward return that scores it is the quarter that followed. Gross of fees, taxes and market impact.