Portfolio Selection

Portfolio Construction: Return based Strategy

Selection Summary

Step 1: MRmean

58

Top 50% Selected

threshold: 0.0075

Step 2: RSmean

29

Top 50% Selected

threshold: 0.6733

Step 3: Corr

7

Bottom 25% Selected

threshold: 0.0940

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

5

Stocks Meeting Conditions

SHV (Cash)

28.6%

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 0.385 0.895 -0.115 5.520 14.3% OILK None
BKLN Invesco Senior Loan ETF 0.023 0.905 -0.113 -0.111 14.3% SHV MACDhist > 0 실패 (-0.1107)
VBIL Vanguard 0-3 Month Treasury Bill ETF 0.017 0.999 -0.108 - 14.3% SHV MACDhist = NaN
XOP State Street SPDR S&P Oil & Gas Expl & Prod ETF 0.271 0.837 0.011 3.601 14.3% XOP None
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF 0.110 0.776 0.047 2.059 14.3% BCI None
IBB iShares Biotechnology ETF 0.215 0.938 0.051 3.241 14.3% IBB None
XLE State Street Energy Select Sector SPDR ETF 0.286 0.876 0.094 3.227 14.3% XLE None

Final Investment Allocation

Ticker Allocation
SHV 28.6%
OILK 14.3%
XOP 14.3%
BCI 14.3%
IBB 14.3%
XLE 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 62.240 0.053 0.385 0.857 0.895 1.000 0.976 0.445 -0.115 0.123 0.301 0.223 0.892
BKLN Invesco Senior Loan ETF 20.430 0.003 0.023 0.654 0.905 1.000 0.775 0.867 -0.113 0.006 0.019 0.025 0.042
VBIL Vanguard 0-3 Month Treasury Bill ETF 75.770 0.003 0.017 1.000 0.999 1.000 0.997 0.999 -0.108 0.004 0.009 0.019 0.037
XOP State Street SPDR S&P Oil & Gas Expl & Prod ETF 203.760 0.037 0.271 0.795 0.837 1.000 0.581 0.480 0.011 0.136 0.153 0.154 0.639
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF 25.740 0.026 0.110 0.784 0.776 1.000 0.609 0.193 0.047 -0.005 0.076 0.017 0.354
IBB iShares Biotechnology ETF 217.610 0.023 0.215 0.780 0.938 1.000 0.813 0.932 0.051 0.034 0.167 0.290 0.368
XLE State Street Energy Select Sector SPDR ETF 70.020 0.035 0.286 0.804 0.876 1.000 0.714 0.583 0.094 0.139 0.183 0.189 0.634