Portfolio Selection

Portfolio Construction: Return based Strategy

Selection Summary

Step 1: MRmean

58

Top 50% Selected

threshold: 0.0750

Step 2: RSmean

29

Top 50% Selected

threshold: 0.7807

Step 3: Corr

7

Bottom 25% Selected

threshold: 0.3996

Final Portfolio

7

Final Selected Holdings

Portfolio Visualization

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

Reference lines: Horizontal MRmean threshold, Vertical RSmean threshold

Investment Filter

Momentum Strategy Condition Verification and Investment Allocation

Selected Stocks

7

Step 3 Result

Actual Investment

7

Stocks Meeting Conditions

SHV (Cash)

0.0%

Unqualified Allocation

Investment Criteria

  • MRmean > 0
  • MACDhist > 0
  • If conditions not met → Invest in cash equivalent (SHV)

Filter Application Results

Ticker Name MRmean RSmean Corr MACDhist Allocation Invest_Target Reason
OILK ProShares K-1 Free Crude Oil 0.347 0.893 -0.179 4.826 14.3% OILK None
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF 0.184 0.917 -0.117 3.562 14.3% BCI None
NORW Global X MSCI Norway ETF 0.192 0.896 0.008 3.623 14.3% NORW None
EWZ iShares MSCI Brazil ETF 0.082 0.802 0.252 3.489 14.3% EWZ None
XLK State Street Technology Select Sector SPDR ETF 0.395 0.829 0.370 2.622 14.3% XLK None
REMX VanEck Rare Earth and Strategic Metals ETF 0.520 0.781 0.394 9.150 14.3% REMX None
ICLN iShares Global Clean Energy ETF 0.430 0.957 0.400 6.562 14.3% ICLN None

Final Investment Allocation

Ticker Allocation
OILK 14.3%
BCI 14.3%
NORW 14.3%
EWZ 14.3%
XLK 14.3%
REMX 14.3%
ICLN 14.3%

Portfolio Holdings

Detailed information on 7 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 -0.179 -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 -0.117 -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 0.008 -0.013 0.064 0.334 0.382
EWZ iShares MSCI Brazil ETF 35.910 0.037 0.082 0.877 0.802 1.000 0.339 0.477 0.252 -0.095 -0.073 0.106 0.391
XLK State Street Technology Select Sector SPDR ETF 191.020 0.025 0.395 0.604 0.829 1.000 0.815 0.404 0.370 0.198 0.378 0.338 0.664
REMX VanEck Rare Earth and Strategic Metals ETF 99.630 0.085 0.520 0.912 0.781 1.000 0.086 0.764 0.394 -0.055 -0.002 0.356 1.782
ICLN iShares Global Clean Energy ETF 23.570 0.047 0.430 0.937 0.957 1.000 0.899 0.834 0.400 0.135 0.294 0.398 0.895