Large caps with minimal leverage and strong free cash flow — net-cash or near it. The rate-shock and credit-crunch hedge: when refinancing windows slam shut, these names fund themselves. Currently curated qualitatively; the planned upgrade is a quantitative screen from the fundamentals pipeline (lowest debt/equity with FCF and size floors).
Basket total returns · Annualized using 252 trading sessions · 0% risk-free rate and downside target. As of 2026-10-16 · close.
How these statistics are calculated
Risk methodology
Sharpe: average daily simple return divided by its sample standard deviation, multiplied by √252. The risk-free rate is assumed to be 0%; this is not a cash-adjusted ratio.
Sortino: average daily simple return divided by downside deviation, multiplied by √252. Downside deviation is the square root of the average squared shortfall below 0%, counting all sessions, including zeros for gains.
Historical volatility: √(252 × average squared daily log return), matching the Vol page’s realized-volatility convention. This differs from the sample standard deviation used in Sharpe.
Each period requires complete history and at least 5 sessions. MTD and YTD follow the calendar; 1y is 252 sessions. Missing data or an undefined ratio displays — with a reason. Short periods can produce unstable ratios; intraday snapshots include a partial session. History before this basket’s creation is backtested. If a new basket has no stored daily return series yet, estimates from its rounded published chart levels are marked ≈.
Basket returns include dividends. “vs S&P 500” compares the basket’s compounded growth with the benchmark’s. Green means positive; red means negative.
Membership history & changes
Membership history
expand
FW 3000 pass: added MKTX, MEDP, EXEL, DOCS, QLYS — names outside the S&P 500 but inside our broad universe; they count only in the FW 3000 version of this basket. Effective-dated to creation so the broad backtest covers the full set. The S&P 500 basket is unchanged.
expand
Widening pass: added eight more net-cash/minimal-leverage large caps (ANET, FTNT, GRMN, ODFL, TROW, LULU, ABNB, DECK). No listed ETF screens on this criterion, so the basket carries no reference. New members are effective-dated to basket creation so the backtest and the reference correlation cover the widened set (the basket was one day old, with no meaningful live history to restate).
create
Initial composition: 12 names, qualitative screen. Quantitative balance-sheet screen is the planned v2.
The upstream commodity complex: oil and gas producers, copper, gold and silver miners, steel and aluminum, lithium and rare earths, fertilizer and grain merchants, and timberland — the price-takers whose earnings are the commodity price. The inflation, dollar and China-demand trade expressed through equities; watch it against Defensives and the Magnificent Seven for the real-assets-vs-duration rotation. Overlap with the energy basket is deliberate — this one drops the refiners, pipes and services and adds the metals, agriculture and timber legs.
Demand that does not care about the cycle: staples, household products, tobacco, regulated utilities, waste, telecom, and needs-based healthcare. The basket to watch when breadth narrows and the tape gets defensive.
The pure-play mortgage-rate beta: production builders buying down rates to clear inventory, move-up and luxury mix, the entry-level spec machines, manufactured housing at the affordability floor, and the spun-out land bank that finances the land-light model. Housing-chain tracks the whole ecosystem; this basket isolates the builders themselves, where the margin cycle and the rate trade express first and hardest.