This project focuses on building a systematic, sector-aware equity portfolio using a rules-based framework. The strategy allocates capital across sectors using a set of internally defined statistical measures, with the goal of adapting to changing market conditions without relying on discretionary decision-making. Rather than manually selecting sectors or position weights, the process automates portfolio construction while enforcing strict constraints on maximum exposure at both the sector and single-stock level. The portfolio is rebalanced monthly, with allocations adjusting over time to reflect evolving conditions while maintaining diversification. The objective is to create a more stable and balanced portfolio by systematically managing exposure and avoiding overconcentration in any single sector or asset.
This chart shows how sector exposure evolves over time within the portfolio. As allocations adjust each month, exposure shifts across different parts of the market, making it easy to see when the portfolio is more concentrated versus broadly diversified.
Below is a simplified comparison of the key metrics. It presents Strategy versus SPY.