Top-20 model basket vs SPY · monthly rebalanced · conviction-weighted (k=5, max 15%/name)
Alpha Zone Overview · headline performance, visualizer, basket holdings
The Alpha Zone holds the top 10 names by composite score from a 1,099-stock US + Canadian universe — composite blends 40 quality factors across four pillars (profitability 45% / growth 20% / shareholder returns 20% / safety 15%) with 14 valuation factors (11 peer-relative multiples + 3 universe-scaled absolute reads), gated to BUY tier (composite ≥ 1.5) so only high-conviction names qualify. Position weights tilt toward conviction (weight ∝ composite⁵, capped at 15% per name) so the strongest ideas get the most capital without any single position dominating the basket. The basket rebalances monthly: names that fall out of the top 10 close at the month-end print and are paired-in by composite rank with the new entrants. The conviction tilt was selected over equal-weighting in a 12-vintage walk-forward backtest (2014–2025): production rules deliver a survivorship-corrected Sharpe of 1.097 at 18.14% annual vol, validated against the full Russell 3000 + S&P/TSX Composite.