Portfolio Selection

Portfolio Construction: Linear Regression Based Strategy

Selection Summary

Step 1: SLmean

58

Top 50% Selected

threshold: 0.0120

Step 2: RSmean

19

Top 33% Selected

threshold: 0.8345

Step 3: Corr

4

Bottom 25% Selected

threshold: 0.3299

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

4

Stocks Meeting Conditions

SHV (Cash)

0.0%

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
COLO Global X MSCI Colombia ETF 0.048 0.949 0.086 0.033 3.449 25.0% COLO None
IBB iShares Biotechnology ETF 0.056 0.904 0.140 0.024 2.879 25.0% IBB None
AMLP Alerian MLP ETF 0.021 0.927 0.177 0.021 1.030 25.0% AMLP None
EPOL iShares MSCI Poland ETF 0.026 0.907 0.330 0.029 2.057 25.0% EPOL None

Final Investment Allocation

Ticker Allocation
COLO 25.0%
IBB 25.0%
AMLP 25.0%
EPOL 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
COLO Global X MSCI Colombia ETF 48.480 0.033 0.284 0.862 0.949 1.000 0.975 0.772 0.086 0.043 0.244 0.251 0.598
IBB iShares Biotechnology ETF 208.950 0.024 0.261 0.773 0.904 1.000 0.828 0.685 0.140 0.121 0.214 0.193 0.516
AMLP Alerian MLP ETF 55.240 0.021 0.110 0.882 0.927 1.000 0.896 0.678 0.177 0.017 0.091 0.103 0.228
EPOL iShares MSCI Poland ETF 43.480 0.029 0.168 0.934 0.907 1.000 0.621 0.765 0.330 0.015 0.081 0.149 0.428