Model Portfolio Feb 28, 2025
The Model Portfolio
The Alpha Engineer 50-stock model portfolio is a mechanical portfolio created by buying the top 50 ranked stocks that qualify for the liquidity threshold (2-week average liquidity >50k USD and price value > 0.5 USD) and selling them when they drop below the 90% rank but holding them for at least one quarter. The model is automatically updated and rebalanced based on the weekly ranking. Transactions and slippage costs are estimated to be 1% of the total transaction value. Transaction price is based on a daily average price corrected for these costs.
The model starts from a 100k USD cash position. Model buys and sells are documented weekly (if any), with performance discussed monthly.
The model was initiated on February 28, 2025. Due to the holding time of 60 trading days, the first BUY and SELL transactions are expected within 3 months (except for stocks that drop from the ranking).
Purpose
The model portfolio measures the overall performance of The Alpha Engineer quant model. The model will be tracked indefinitely, with any changes thoroughly documented.
The model also serves as a useful benchmark for 20-stock or similar portfolios that are not purely mechanical or significantly differ in strategy. This allows for performance comparison between different implementation approaches of the quantitative methodology.