Core Alpha Research · Nº 001 · The Dashboard HYPOTHETICAL
The current book — and what just changed.
Core Alpha Research — a hypothetical Model Portfolio. This is the Core Alpha strategy: the
high-turnover, opportunistic momentum book built for tax-advantaged accounts. The flagship
Structural Alpha book — diversified, low-turnover, tax-managed — is the taxable-account
strategy (see Approach). Everything below is a hypothetical backtest of one model portfolio, marked
daily — not a client account and not an executed order.
Model Portfolio equity, rebased to its start and marked daily against buy-and-hold benchmarks — a hypothetical backtest, not a track record.
Current book · what we hold now
Trend strength = how strongly a sleeve is trending versus its own history
Sleeve
What it is
Trend strength
Portfolio weight
Status
Held sleeves first (by portfolio weight), then the waiting list (universe members below the
cut, by trend strength). Status is what the last rebalance did to each name — Buy / Increase / Reduce /
Hold — or Waiting. One book, one date; nothing here is an executed order.
Last rebalance · in and out
What the book did at its most recent monthly turn — names bought or sold, weights raised or
trimmed — held forward since. Hypothetical model output for research; not advice and not an executed order.
Research only — not investment advice. The Core Alpha model flags and sizes trends; it
does not place trades. Walk-forward, net of modeled transaction cost; the retroactive application of the model to
historical data, not actual trading or any client account. Past performance — hypothetical or actual — does not
guarantee future results. Data: Yahoo Finance daily bars.