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.
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.