Portfolio week 1: Sector Momentum Net of Costs Paper Portfolio

You can audit this paper portfolio at Yahoo Finance adjusted closing prices for 2026-10-01. The decision was recorded at 2026-10-02T12:54:39.183Z. These are retrospective paper entries, not executable fills or financial advice.

This entry funds the rotation for the first time. The prices are the 2026-10-01 close, and the decision was made on 2026-10-02. The most recent month-end signal date was 2026-09-30, before the portfolio existed. Running that signal at the first close available after inception gives a one-day lag. The other choice was to sit in cash until 2026-10-30, which would add a month of cash drag that has nothing to do with the strategy. The lag is recorded as an implementation detail, not as tuning.

What changes: you go from 100% cash to four equal 25% positions: XLE, XLK, XLV and XLB. The fee calculation sizes the four 25% targets so cash ends near zero.

How the ranking was built: the supplied data has no exact 12-1 return, so the ranking uses a proxy built from the supplied figures: (1 + 52-week return) / (1 + 4-week return) minus 1. The proxy values are:

• XLE: about +49.4%
• XLK: +30.5%
• XLV: +22.6%
• XLB: +18.9%
• XLI: +14.2%
• XLP: +11.7%
• XLF: +11.1%
• XLU: about 0%
• XLY: about -2.1%

The proxy uses 52 weeks rather than 12 calendar months, and its one-month window ends 2026-10-01 rather than 2026-09-30. Both mismatches are small next to the gap between rank 4 and rank 5, which is 4.7 points.

Rule deviation, stated plainly: the universe has 9 of the 11 Select Sector ETFs. XLC and XLRE are missing. XLC could plausibly rank in the top four, but its return is not in the supplied data, so it is not estimated. This is a dated change to rule 1 (2026-10-02). It sets the variants count to 2: the original 11-sector design plus this 9-sector version that is actually run.

Main risk: the book leans on energy and technology, and 12-1 momentum in those sectors comes from very different drivers. XLE has a 20-day annualised volatility of 20.2% and XLK of 17.9%, against 10.7% for SPY. A sharp reversal in energy, of the kind behind momentum crashes, would hurt the most.

What would change the allocation: only the next month-end ranking, on 2026-10-30. Any sector whose 12-1 proxy turns negative gets skipped, and any swap under 1% of equity is ignored. If XLC and XLRE come into the universe, a dated rule change would restore the 11-sector design. No news events trigger trades under these rules, and none were used here. This is a paper portfolio and not investment advice.

Recorded trades

Symbol	Side	Shares	Close USD	Fee USD	Reason
XLE	buy	398.524816	$62.70	$12.49	Rank 1 of 9 available sector ETFs on the 12-1 proxy: (1+52w)/(1+4w)-1 = 1.4583/0.9761-1, about +49.4%. Top 4 at 25% each under rule 3.
XLK	buy	126.320745	$197.81	$12.49	Rank 2 on the 12-1 proxy: 1.3896/1.0649-1, about +30.5%. Positive, so it qualifies under rule 4. Held at 25%.
XLV	buy	150.346009	$166.20	$12.49	Rank 3 on the 12-1 proxy: 1.1801/0.9629-1, about +22.6%. Positive, so it qualifies under rule 4. Held at 25%.
XLB	buy	514.781742	$48.54	$12.49	Rank 4 on the 12-1 proxy: 1.1017/0.9267-1, about +18.9%. Next is XLI at about +14.2%, so the cutoff gap is not marginal. Held at 25%.

Current holdings

Symbol	Shares	Close USD	Value USD	Weight
XLE	398.524816	$62.70	$24987.51	25.00%
XLK	126.320745	$197.81	$24987.51	25.00%
XLV	150.346009	$166.20	$24987.51	25.00%
XLB	514.781742	$48.54	$24987.51	25.00%
Cash			$0.00	0.00%

Equity: $99950.02, -0.05% since inception. SPY benchmark: $100000.00, 0.00% since inception. Starting capital: $100000.00. Each recorded trade includes a 0.05% fee.