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The PNL Portfolio runs 13 independent signal blocks across ~50 liquid ETFs covering equities, bonds, gold, emerging markets, volatility, credit, and macro factors. Each block uses simple rules-based logic to go long, short, or sit in cash depending on conditions.
Fully systematic with no discretionary overrides. No machine learning. Daily rebalancing with 4% drift threshold. Avg pairwise block correlation ~0.16.
Weights are published once per trading day, 15 minutes before market close (3:45 PM ET). Weights reflect intraday prices up to that point.
The portfolio uses a 4% drift threshold. Positions are only rebalanced when their actual weight drifts more than 4 percentage points from the target weight. This reduces unnecessary turnover and trading costs. If you are replicating manually, you do not need to trade every day — only adjust positions that have drifted significantly from the published weights.
Multiply each weight by your total portfolio value. Example for a $100,000 account:
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