Composing
The portfolio is constructed as a weighted blend of four orthogonal factor sleeves combined under a single risk overlay.
| Strategy | Description | Allocation | Trades | Net flow |
|---|---|---|---|---|
| momentum | Cross-sectional 12-1 month momentum, top/bottom 30, monthly rebalance | 40.00% | 60 | -$0 |
| quality | High ROE, low D/E, positive earnings growth — long only top 30 | 25.00% | 30 | $3.42M |
| low_volatility | Bottom-quintile 60-day realized vol, equal weight long only | 20.00% | 181 | $2.73M |
| mean_reversion | RSI<30 above 200-DMA, 5-day hold | 15.00% | 3 | $2.05M |
Cross-sectional 12-1 month momentum, top/bottom 30, monthly rebalance
| Top signals (latest) | Score | Weight contribution | Date |
|---|---|---|---|
| AXON | -0.0133 | -1.333% | Tue May 12 |
| CIEN | 0.0133 | 1.333% | Tue May 12 |
| COHR | 0.0133 | 1.333% | Tue May 12 |
| FIX | 0.0133 | 1.333% | Tue May 12 |
| CPRT | -0.0122 | -1.333% | Tue May 12 |
| GLW | 0.0133 | 1.333% | Tue May 12 |
| CSGP | -0.0133 | -1.333% | Tue May 12 |
| SATS | 0.0133 | 1.333% | Tue May 12 |
| FDS | -0.0133 | -1.333% | Tue May 12 |
| FICO | -0.0133 | -1.333% | Tue May 12 |
| FISV | -0.0133 | -1.333% | Tue May 12 |
| ALB | 0.0133 | 1.333% | Tue May 12 |
High ROE, low D/E, positive earnings growth — long only top 30
| Top signals (latest) | Score | Weight contribution | Date |
|---|---|---|---|
| BLKB | 0.0083 | 0.833% | Tue May 12 |
| CHH | 0.0083 | 0.833% | Tue May 12 |
| CL | 0.0094 | 0.833% | Tue May 12 |
| CLX | 0.0083 | 0.833% | Tue May 12 |
| DECK | 0.0083 | 0.833% | Tue May 12 |
| DOCS | -0.0050 | 0.833% | Tue May 12 |
| DUOL | -0.0050 | 0.833% | Tue May 12 |
| DVA | 0.0083 | 0.833% | Tue May 12 |
| EXEL | 0.0083 | 0.833% | Tue May 12 |
| FTNT | 0.0083 | 0.833% | Tue May 12 |
| GDDY | -0.0050 | 0.833% | Tue May 12 |
| BCO | 0.0083 | 0.833% | Tue May 12 |
Bottom-quintile 60-day realized vol, equal weight long only
| Top signals (latest) | Score | Weight contribution | Date |
|---|---|---|---|
| APD | 0.0011 | 0.110% | Tue May 12 |
| LNT | 0.0011 | 0.110% | Tue May 12 |
| ALL | 0.0011 | 0.110% | Tue May 12 |
| AEE | 0.0011 | 0.110% | Tue May 12 |
| AEP | 0.0011 | 0.110% | Tue May 12 |
| AIG | 0.0011 | 0.110% | Tue May 12 |
| AWK | 0.0011 | 0.110% | Tue May 12 |
| AMGN | 0.0011 | 0.110% | Tue May 12 |
| AAPL | 0.0011 | 0.110% | Tue May 12 |
| ACGL | 0.0011 | 0.110% | Tue May 12 |
| AIZ | 0.0011 | 0.110% | Tue May 12 |
| AFL | 0.0011 | 0.110% | Tue May 12 |
RSI<30 above 200-DMA, 5-day hold
| Top signals (latest) | Score | Weight contribution | Date |
|---|---|---|---|
| GMED | 0.0500 | 5.000% | Tue May 12 |
| TJX | 0.0511 | 5.000% | Tue May 12 |
| WLK | 0.0500 | 5.000% | Tue May 12 |