Portfolio Selection

Portfolio Construction: Return based Strategy

Selection Summary

Step 1: MRmean

72

Top 50% Selected

threshold: 0.1222

Step 2: RSmean

36

Top 50% Selected

threshold: 0.7817

Step 3: Corr

9

Bottom 25% Selected

threshold: 0.2093

Final Portfolio

9

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

9

Step 3 Result

Actual Investment

9

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 0.447 0.898 -0.117 4.243 11.1% OILK None
XOP State Street SPDR S&P Oil & Gas Expl & Prod ETF 0.331 0.935 -0.083 3.974 11.1% XOP None
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF 0.246 0.963 -0.020 3.720 11.1% BCI None
IXC iShares Global Energy ETF 0.291 0.956 0.054 4.063 11.1% IXC None
XLE State Street Energy Select Sector SPDR ETF 0.263 0.943 0.074 3.658 11.1% XLE None
COLO Global X MSCI Colombia ETF 0.144 0.872 0.095 3.424 11.1% COLO None
NORW Global X MSCI Norway ETF 0.261 0.956 0.160 3.846 11.1% NORW None
THD iShares MSCI Thailand ETF 0.164 0.808 0.201 3.491 11.1% THD None
PPLT abrdn Physical Platinum Shares ETF 0.304 0.800 0.209 5.626 11.1% PPLT None

Final Investment Allocation

Ticker Allocation
OILK 11.1%
XOP 11.1%
BCI 11.1%
IXC 11.1%
XLE 11.1%
COLO 11.1%
NORW 11.1%
THD 11.1%
PPLT 11.1%

Portfolio Holdings

Detailed information on 9 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 59.090 0.029 0.447 0.537 0.898 1.000 0.933 0.798 -0.117 0.110 0.442 0.547 0.689
XOP State Street SPDR S&P Oil & Gas Expl & Prod ETF 178.210 0.035 0.331 0.787 0.935 1.000 0.856 0.863 -0.083 -0.020 0.276 0.421 0.648
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF 25.310 0.030 0.246 0.879 0.963 1.000 0.900 0.934 -0.020 0.042 0.165 0.331 0.447
IXC iShares Global Energy ETF 56.810 0.038 0.291 0.878 0.956 1.000 0.854 0.924 0.054 -0.014 0.199 0.390 0.589
XLE State Street Energy Select Sector SPDR ETF 59.650 0.036 0.263 0.850 0.943 1.000 0.798 0.913 0.074 -0.026 0.176 0.374 0.530
COLO Global X MSCI Colombia ETF 38.590 0.042 0.144 0.921 0.872 1.000 0.646 0.528 0.095 -0.025 -0.080 0.152 0.530
NORW Global X MSCI Norway ETF 38.570 0.029 0.261 0.806 0.956 1.000 0.901 0.958 0.160 0.009 0.183 0.360 0.490
THD iShares MSCI Thailand ETF 70.710 0.029 0.164 0.853 0.808 1.000 0.221 0.704 0.201 0.019 0.120 0.181 0.337
PPLT abrdn Physical Platinum Shares ETF 179.800 0.065 0.304 0.870 0.800 1.000 0.410 0.393 0.209 0.009 -0.078 0.253 1.032