How to determine a portfolio’s historical size and sector allocations

Models
1

Hi, Community,

I am looking at the distribution of positions by market cap (size) and sector allocations. However, this information is for current positions only. I’d like to determine how this breaks out over time.

The reason, if it’s important, is that a capital allocation criterion depends on the expected size of the investment. I’d like to know what types of allocations I can expect for various amounts of capital committed.

2

I like the idea. Add running dividend yield, too.

If I get enough time, I’ll look into what’s needed to analyse the transaction log and build those series.

3

I put this together in the past for a couple of my strategies… but it was a very tedious manual task. Would love to see this automated somehow.

4

There’s a way around this. After running the simulation (let’s say the simulation is called “junk”), run a new simulation with the following buy rules: portfolio(“junk”) = 1 and mktcap > 5000; and the following sell rule: portfolio(“junk”) = 0 or mktcap < 5000. You’ll isolate the stocks in the first portfolio that have market caps greater than $5 billion. You can do this with sectors or other market cap limits. It’s a bit tedious, but perhaps less tedious than analyzing the transaction long.

5

cool solution

thanks yuval