Portfolio Selection

Portfolio Construction: Linear Regression Based Strategy

Selection Summary

Step 1: SLmean

58

Top 50% Selected

threshold: -0.0013

Step 2: RSmean

19

Top 33% Selected

threshold: 0.7130

Step 3: Corr

4

Bottom 25% Selected

threshold: 0.0177

Final Portfolio

4

Final Selected Holdings

Portfolio Visualization

Criteria: RSmean (x-axis) | SLmean (y-axis)

Reference lines: Horizontal SLmean threshold, Vertical RSmean threshold

Investment Filter

Momentum Strategy Condition Verification and Investment Allocation

Selected Stocks

4

Step 3 Result

Actual Investment

2

Stocks Meeting Conditions

SHV (Cash)

50.0%

Unqualified Allocation

Investment Criteria

  • SL12 ≥ 0
  • MACDhist ≥ 0
  • If conditions not met → Invest in cash equivalent (SHV)

Filter Application Results

Ticker Name SLmean RSmean Corr SL12 MACDhist Allocation Invest_Target Reason
BKLN Invesco Senior Loan ETF 0.005 0.905 -0.047 0.003 -0.111 25.0% SHV MACDhist ≥ 0 실패 (-0.1107)
OILK ProShares K-1 Free Crude Oil 0.074 0.895 -0.022 0.053 5.520 25.0% OILK None
VBIL Vanguard 0-3 Month Treasury Bill ETF 0.003 0.999 -0.004 0.003 - 25.0% SHV MACDhist = NaN
IBB iShares Biotechnology ETF 0.037 0.938 0.018 0.023 3.241 25.0% IBB None

Final Investment Allocation

Ticker Allocation
SHV 50.0%
OILK 25.0%
IBB 25.0%

Portfolio Holdings

Detailed information on 4 finally selected holdings.

Ticker Name Price SL12 MRmean RS12 RSmean RS1 RS3 RS6 Corr MR1 MR3 MR6 MR12
BKLN Invesco Senior Loan ETF 20.430 0.003 0.023 0.654 0.905 1.000 0.775 0.867 -0.047 0.006 0.019 0.025 0.042
OILK ProShares K-1 Free Crude Oil 62.240 0.053 0.385 0.857 0.895 1.000 0.976 0.445 -0.022 0.123 0.301 0.223 0.892
VBIL Vanguard 0-3 Month Treasury Bill ETF 75.770 0.003 0.017 1.000 0.999 1.000 0.997 0.999 -0.004 0.004 0.009 0.019 0.037
IBB iShares Biotechnology ETF 217.610 0.023 0.215 0.780 0.938 1.000 0.813 0.932 0.018 0.034 0.167 0.290 0.368