Localware: A multi-factor systematic portfolio

by Gajanan Barve

I. Headline figures

Annualised return

6.47%

Total 36.64% since inception

Sharpe ratio

0.61

Sortino 0.80

Max drawdown

-17.25%

Calmar 0.37

Realised volatility

11.33%

Hit rate 51.4%

Figure 1. Equity curve. Cumulative growth of $1 invested at inception. Net of slippage (5–25 bps) and commissions ($0.005/share, $1 minimum). Blue trace is the strategy; the dashed reference is the starting capital baseline.

II. Top positions, current snapshot

Table 1. Largest holdings by market value

Ticker	Sector	Weight	Mkt Value	Unrealized P/L
TJX	Consumer Discretionary	2.43%	$331.8K	+162.3K
WLK	Materials	2.38%	$324.7K	-79.5K
GMED	Health Care	2.38%	$324.7K	+116.6K
STX	Information Technology	1.03%	$140.7K	+131.5K
WBD	Communication Services	0.69%	$93.8K	+49.0K
FLO	Consumer Staples	-0.63%	-$86.6K	+156.5K
FN	Information Technology	0.63%	$86.6K	+59.6K
FOUR	Financials	-0.63%	-$86.6K	-16.2K
TER	Information Technology	0.63%	$86.6K	+65.7K
GLW	Information Technology	0.63%	$86.6K	+73.1K
DOCU	Information Technology	-0.63%	-$86.6K	+26.0K
MU	Information Technology	0.63%	$86.6K	+73.4K

Includes both long and short legs. Weights calculated on portfolio NAV.

III. Sector composition

Table 2. Sector weight (long net)

Sector	Weight	N
Information Technology	8.79%	37
Health Care	5.43%	23
Materials	3.91%	10
Consumer Discretionary	3.54%	10
Industrials	2.74%	32
Utilities	1.89%	36
Real Estate	1.31%	38
Communication Services	0.95%	8
Financials	0.62%	51
Energy	0.55%	4
Consumer Staples	-1.22%	15

IV. Most recent executions

Table 3. Trade tape (last 8)

When	Ticker	Side	Strategy	Qty	Price	Slippage
2026-05-12	GMED	BUY	—	6743	$77.24	10.0 bp
2026-05-12	HSY	SELL	—	2690	$188.95	10.0 bp
2026-05-12	VZ	SELL	—	10669	$47.63	10.0 bp
2026-05-12	WLK	BUY	—	4596	$97.70	10.0 bp
2026-05-12	TJX	BUY	—	2194	$147.88	10.0 bp
2026-05-12	OKTA	SELL	—	4049	$79.18	10.0 bp
2026-05-12	AXON	SELL	—	692	$391.93	10.0 bp
2026-05-12	AA	BUY	—	4170	$64.13	10.0 bp

Slippage modelled as 5 bps base plus half-spread proxy and a 15 bps impact penalty above 1% ADV.

Composing