The six gates, with one addition: a company is only eligible if its own trailing one-year beta is at or below 1.3. That single constraint pulls portfolio beta from 1.34 to 1.05 and holds it there in both halves of the sample.
| Period | Return | Beta | Volatility | Sharpe |
|---|---|---|---|---|
| full 2014–25 | 18.50% | 1.05 | 20.19% | 0.79 |
| 2014–2019 | 13.96% | 1.05 | 14.87% | 0.77 |
| 2020–2025 | 22.82% | 1.04 | 24.18% | 0.84 |
| same rules, no beta cap | 17.50% | 1.34 | 24.68% | 0.61 |
The beta control is the robust part. It delivers 1.05 and 1.04 in the two halves from starting points of 1.17 and 1.38, and volatility falls in both. Sharpe improves sharply in the early period and is unchanged in the late one, so the constraint never costs anything risk-adjusted. The return improvement is not robust — it is +6.2pp in the first half and −5.3pp in the second, which is a sign flip and should be ignored.
The book is rebuilt from scratch every quarter, so a name persists only by re-qualifying on its own merits. Fewer than 25 names appear whenever the beta screen leaves a thinner eligible set than the gates alone would.
| Longest-held | Consecutive quarters |
|---|---|
| VRTX | 10 |
| HAS | 7 |
| STMP | 7 |
| HCCI | 7 |
| AMZN | 6 |
| SWBI | 6 |
| MERC | 6 |
| MED | 6 |
Step through the formations. Buys are companies entering the book that quarter; sells are companies that were held and no longer qualify. The table beneath is the resulting portfolio, with the trailing beta each name was screened on. Mean name beta is the average of those trailing figures, which is not the same thing as the book’s realised beta of 1.05 — the first is measured before formation, the second from what actually happened after.
| Ticker | Company | Sector | Score | Beta | Growth | Market cap | Return | Status |
|---|---|---|---|---|---|---|---|---|
| CF | CF INDUSTRIES HOLDINGS INC | Materials | 79.6 | -0.74 | 21% | $16.5bn | +23.9% | new |
| CODA | CODA OCTOPUS GROUP INC | Technology | 73.6 | 1.29 | 23% | $0.1bn | +5.6% | held |
| ANIP | ANI PHARMACEUTICALS INC | Healthcare | 70.9 | 0.49 | 37% | $2.0bn | -14.2% | new |
| NBIX | NEUROCRINE BIOSCIENCES INC | Healthcare | 70.4 | 0.73 | 29% | $16.9bn | -7.2% | held |
| PTC | PTC INC | Technology | 69.6 | 0.53 | 28% | $13.8bn | +17.7% | held |
| GMED | GLOBUS MEDICAL INC | Healthcare | 68.9 | 0.92 | 23% | $10.3bn | +3.1% | new |
| CHE | CHEMED CORP | Healthcare | 68.0 | 0.16 | 39% | $6.4bn | +8.2% | held |
| AMCR | AMCOR PLC | Industrials | 66.6 | 0.82 | 65% | $20.2bn | +3.5% | held |
| FIVE | FIVE BELOW INC | Consumer Disc | 65.9 | 1.21 | 26% | $10.1bn | +38.1% | new |
| PAYS | PAYSIGN INC | Technology | 65.6 | 0.88 | 43% | $0.5bn | +57.1% | held |
| VMD | VIEMED HEALTHCARE INC | Healthcare | 65.2 | 0.54 | 23% | $0.5bn | -22.7% | held |
| RELY | REMITLY GLOBAL INC | Technology | 64.9 | 1.28 | 27% | $4.8bn | +14.0% | held |
| GRND | GRINDR INC | Technology | 62.4 | 0.63 | 31% | $2.8bn | -2.8% | held |
| LMB | LIMBACH HOLDINGS INC | Industrials | 60.8 | 1.22 | 22% | $0.9bn | -35.8% | held |
| KTB | KONTOOR BRANDS INC | Consumer Disc | 59.8 | 0.99 | 21% | $4.6bn | -12.2% | held |
| FICO | FAIR ISAAC CORP | Technology | 56.5 | 0.72 | 23% | $28.0bn | -22.7% | new |
| NOW | SERVICENOW INC | Technology | 56.0 | 0.73 | 22% | $109.1bn | +33.5% | held |
| LGND | LIGAND PHARMACEUTICALS INC | Healthcare | 55.7 | 0.89 | 51% | $6.2bn | -8.5% | new |
| FSS | FEDERAL SIGNAL CORP | Consumer Disc | 55.7 | 1.09 | 23% | $7.8bn | -6.4% | new |
| HUBS | HUBSPOT INC | Technology | 54.9 | 0.71 | 21% | $9.6bn | +31.9% | new |
| KRYS | KRYSTAL BIOTECH INC | Healthcare | 54.1 | 0.82 | 25% | $10.9bn | -3.6% | held |
| PNTG | PENNANT GROUP INC | Healthcare | 54.1 | 0.46 | 37% | $1.3bn | +1.7% | new |
| ISRG | INTUITIVE SURGICAL INC | Healthcare | 52.8 | 0.85 | 21% | $142.5bn | -8.9% | new |
| GWRE | GUIDEWIRE SOFTWARE INC | Technology | 49.4 | 0.61 | 25% | $10.6bn | +27.2% | new |
| COCO | VITA COCO COMPANY INC | Consumer Staples | 48.4 | 0.57 | 23% | $3.9bn | -20.1% | new |
Both start at £100,000 on 31 December 2013.