Midcap Short Returns
About this portfolio
Description
Midcap Short holds up to 4 mid caps above $2B short. Selection follows the model's negative score. Returns are those of a short position in the basket, so the figure rises when the basket falls.
Strategy
Equal capital goes into every position. The book is rebuilt each morning from the names the model expects to fall, and the orders are placed as market orders, so shorts and covers fill at the opening price. Positions are held for 12 to 28 days: they are not rotated out before day 12 and are covered by day 28. Every position carries a 40% stop on both sides. A short is covered if the price runs 40% above its entry, and equally if it falls 40% below it, filling at the first open after the level is touched. Reported returns are those of a short position in the basket: the position gains when the basket falls and loses when it rises. They are measured from those opening prices and include every stop exit. A short position's loss is not capped, and borrowing costs and stock-loan fees are not included.
- Started with
- $100,000
- Jun 25, 2025
- Worth now
- $245,380
- Sep 25, 2026
Portfolio Value Over Time
- Max drawdown
- −15.90%
- From high
- −4.00%
- Under water
- 68 sessions
- Volatility
- 34.52%
- Sharpe
- 2.36
Return Distributions
How often each size of move has happened, measured between the closes of each session, week and month. Each bar is labelled with the middle of its range: the white bar holds moves nearest to flat, losses sit to its left and gains to its right.