Portfolio Selection

Portfolio Construction: Return based Strategy

Selection Summary

Step 1: MRmean

58

Top 50% Selected

threshold: 0.0540

Step 2: RSmean

29

Top 50% Selected

threshold: 0.7729

Step 3: Corr

7

Bottom 25% Selected

threshold: 0.2443

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
XOP State Street SPDR S&P Oil & Gas Expl & Prod ETF 0.210 0.773 -0.299 3.268 14.3% XOP None
COLO Global X MSCI Colombia ETF 0.284 0.949 0.029 3.449 14.3% COLO None
IBB iShares Biotechnology ETF 0.261 0.904 0.092 2.879 14.3% IBB None
AMLP Alerian MLP ETF 0.110 0.927 0.103 1.030 14.3% AMLP None
XTL State Street SPDR S&P Telecom ETF 0.158 0.837 0.148 3.811 14.3% XTL None
XLK State Street Technology Select Sector SPDR ETF 0.199 0.790 0.236 2.819 14.3% XLK None
EWS iShares MSCI Singapore ETF 0.171 0.937 0.244 1.604 14.3% EWS None

Final Investment Allocation

Ticker Allocation
XOP 14.3%
COLO 14.3%
IBB 14.3%
AMLP 14.3%
XTL 14.3%
XLK 14.3%
EWS 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
XOP State Street SPDR S&P Oil & Gas Expl & Prod ETF 185.940 0.034 0.210 0.754 0.773 1.000 0.674 0.162 -0.299 0.048 0.139 0.220 0.430
COLO Global X MSCI Colombia ETF 48.480 0.033 0.284 0.862 0.949 1.000 0.975 0.772 0.029 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 0.092 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 0.103 0.017 0.091 0.103 0.228
XTL State Street SPDR S&P Telecom ETF 209.820 0.048 0.158 0.847 0.837 1.000 0.865 0.248 0.148 0.008 -0.117 0.149 0.593
XLK State Street Technology Select Sector SPDR ETF 185.690 0.029 0.199 0.644 0.790 1.000 0.289 0.674 0.236 0.059 -0.027 0.341 0.422
EWS iShares MSCI Singapore ETF 33.930 0.016 0.171 0.734 0.937 1.000 0.957 0.831 0.244 0.051 0.171 0.201 0.260