Portfolio Selection

Portfolio Construction: Linear Regression Based Strategy

Selection Summary

Step 1: SLmean

58

Top 50% Selected

threshold: 0.0072

Step 2: RSmean

19

Top 33% Selected

threshold: 0.8464

Step 3: Corr

4

Bottom 25% Selected

threshold: 0.3700

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
OILK ProShares K-1 Free Crude Oil 0.045 0.893 -0.120 0.034 4.826 25.0% OILK None
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF 0.021 0.917 -0.085 0.033 3.562 25.0% BCI None
NORW Global X MSCI Norway ETF 0.023 0.896 -0.015 0.030 3.623 25.0% NORW None
EWS iShares MSCI Singapore ETF 0.013 0.884 0.370 0.012 0.545 25.0% EWS None

Final Investment Allocation

Ticker Allocation
OILK 25.0%
BCI 25.0%
NORW 25.0%
EWS 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
OILK ProShares K-1 Free Crude Oil 54.259 0.034 0.347 0.595 0.893 1.000 0.732 0.895 -0.120 -0.038 0.342 0.517 0.568
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF 24.440 0.033 0.184 0.915 0.917 1.000 0.590 0.888 -0.085 -0.034 0.121 0.247 0.401
NORW Global X MSCI Norway ETF 38.060 0.030 0.192 0.812 0.896 1.000 0.540 0.900 -0.015 -0.013 0.064 0.334 0.382
EWS iShares MSCI Singapore ETF 29.490 0.012 0.076 0.844 0.884 1.000 0.509 0.820 0.370 0.018 0.025 0.064 0.195