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Update

This stuff is free, be a member of my research group https://www.portfolio123.com/app/group/317 and have access to the following strategy books —>

Beat the S&P 500

https://www.portfolio123.com/port_summary.jsp?portid=1854362

One Portfolio of Free P123 Strategies

https://www.portfolio123.com/port_summary.jsp?portid=1854427

Best regards,

Andreas

95.99% YTD

Careful with stuff like this now. Rebalance those strategies back to your original weighting (my personal max would be 20 - 25% of my capital).

Higher beta. Earnings estimates ROC up. Actuals. It has had a huge run!

This is just one example:

https://portfolio123.com/app/r2g/summary?id=1765750

Rebalancing is prudent here.

If you are in one of my live strategy books (which contains the above strategy, for example with a weight of 25%), the rebalance happens automatically.

But if you invested a huge chunk of your money in — for example — the above strategy alone: Kudos, but think about what to do now!

Strategy Book Example

Stuff like this (below) will rebalance automatically, it permanently sells into strength and buys into weakness (weekly!):

https://www.portfolio123.com/port_summary.jsp?portid=1934103 (you need to be a free member of my group https://www.portfolio123.com/app/group/317 to be able to access it!).

Simulation:

https://www.portfolio123.com/port_summary.jsp?portid=1942196

Live Trading Book:

Best regards,

Andreas

1. AI Factor (Machine Learning on P123 / FactSet Factors) is the Future!

After more than one year of out‑of‑sample live trading across over 100 AI Factor models, I can say this clearly:

AI Factor — machine learning applied to point‑in‑time factors — is the future.

The results are staggering!

Paying subscribers of this Substack have access to these two AI Factor Large Cap models (DM me and I add you to the P123 Group!).

OOS live since December 30, 2025.

https://www.portfolio123.com/port_summary.jsp?portid=1905357

OOS Only:

OOS live since December November, 2025.

https://www.portfolio123.com/port_summary.jsp?portid=1893489

OOS Only:

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2. Cross‑Factor Mean Reversion is the best way to apply traditional ranking systems

Your ranking systems and portfolio strategies do not have to be stellar!

Build something robust. Built clear (ranking system) sleeves — Growth & Sentiment, Low Volatility, or Buffett Quality / Dividend Growth. Put them into a Strategy Book. Hedge it with a 25% gold position. Rebalance weekly. Beat the market with less market risk.

Portfolio123.com Account (example):

Free Public Live Strategy Book: https://www.portfolio123.com/port_summary.jsp?portid=1848225

Free Public Book Simulation:

https://www.portfolio123.com/port_summary.jsp?portid=1945783

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3. Work on your Biases!

Stop listening to fear mongerers and the media. All they do is sell fear. And honestly, they have no clue about the market. If we do not want to be poor when we die, we have to be invested. Central banks and governments print money. That leads to inflation — which gets massively understated with statistical tricks. We need to beat inflation!

Choose your strategy — and therefore your pain. There is no free lunch. Investing and trading are emotionally hard. And no, the market does not work the way we want it to.

4. P123 / FactSet Data is a Quant Dream

FactSet is innovating fiercely. Actuals are captured faster. Estimates get more coverage.

The data is cleaner.

P123 makes it point‑in‑time. That is the hardest part. Without point‑in‑time, backtesting is impossible without look‑ahead bias. P123 solves that.

Models that capture improving data quality do not just work on old, slow data. They benefit as the data gets better!

Traditional quants build models on cleaned, sanitised, static datasets. Models that thrive on the bleeding edge of data innovation are a different class entirely.

EPS estimates capture forward‑looking expectations. Actuals capture the surprise. Together, they form a fundamental momentum signal that has been documented for decades (post‑earnings announcement drift, analyst revision drift).

Another (free!) example:

https://www.portfolio123.com/app/r2g/summary?id=1765750

By the way — if you can live with concentrated portfolios and higher risk, you do not need AI Factor. And you also do not need to trade small caps (with traditional ranking systems).

For total return, EPS estimates and actuals models are hard to beat!

5. P123 / FactSet Data is a dream for discretionary traders

I worked with a group of swing traders. They gave me their criteria. We put them into a screen and backtested them. The results were not good (especially after applying realistic slippage & trading costs!).

So why trade a screen without backtesting it?

Your base assumptions need to be solid before you apply your discretionary trading skills.

If you use a screen and do not backtest it, you are flying blind.

And if you use a screen that backtests on data with look‑ahead or survivorship bias, you are flying blind with broken instruments.

Example — traders come to me and say: “Here is a list of stocks. Please backtest them in this screen.”

You cannot backtest a list of stocks without massive survivorship bias. The list itself is already filtered by survival. The universe of stocks needs to be dynamic (you guessed it it needs to be point in time!).

To my knowledge, only the P123 Screener accesses institutional grade (FactSet!!!) point‑in‑time data with > 4500 Factors — and you can backtest on it.

And the screener is not expensive at all!

No, for a start, you do not need a longer backtest. If you are hunting for factors that have improved (see above!) over the last five years, a five‑year backtest is enough.

And no, you do not need to create your own ranking systems. You will waste months of time instead of starting today.

https://www.portfolio123.com/sv/register/retail

Here are my best free screens —>

Actuals and Estimates:
https://www.portfolio123.com/app/screen/summary/324756?mt=1

CANSLIM Leaders:
https://www.portfolio123.com/app/screen/summary/325252?mt=1

CANSLIM Market Timing & P123 Alphanaut explaining the formulas:
https://www.portfolio123.com/app/screen/summary/316877?mt=1

Then start digging into the data:

Best regards,

Andreas

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Free Research Group!

The strategies referenced in this post are available in the following research group.

Please join (for free) to get access.

https://www.portfolio123.com/app/group/317

Free Cross‑Factor Strategy Books – Built for German (and EU) Investors

EU and German investors typically cannot invest in US‑based ETFs.

So I created the following Strategy Books — in Euro.

https://www.portfolio123.com/port_summary.jsp?portid=1934103

Comparison with US‑based ETF

The same Strategy Book — but with GLD (US‑based ETF) for a longer cap curve.

As you can see, the EUR‑denominated version gives you even more risk protection.

Why? The dollar typically rallies when markets sell off. By holding the Euro version (and living in the EU!), you add an extra layer of downside cushion.

https://www.portfolio123.com/port_summary.jsp?portid=1942194

Live Strategy Book!

But again, most EU‑based investors cannot trade the version above.

So here is the Strategy Book with EUWAX Gold II — fully tradable across Europe, in Euro, no PRIIPs restrictions:

For German investors — and any EU investor who can trade EUWAX Gold II — this is your live strategy!

Connect it to your P123 account, link it to Interactive Brokers, and semi‑automate the trades.

https://www.portfolio123.com/port_summary.jsp?portid=1942196

Let’s talk.

You can meet me here (Monday – Friday):
👉 https://calendly.com/portfolio123meeting

Best regards,
Andreas

P.S. I have not analyzed the third‑party risk of the ETFs mentioned. Please do your own due diligence before investing.

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Portfolio123’s new FactorMiner is now available – and it changes how you start building quantitative strategies —>

Subscribe now

What FactorMiner Does

FactorMiner evaluates each factor independently and reports key metrics:

• Annualized alpha, beta, tail-weighted IC, t-statistics

• High/low quantile returns

• Missing-value coverage

• Factor correlations

It can rank factors by Alpha or IC, automatically detect the best sort direction for long/short, and create a subset of the best factors using a maximum correlation coefficient.

How to access it:

1. Go to RESEARCH → TOOLS → Download Factors

2. Create a Factor List with your superset of factors

3. Generate the dataset (requires API credits)

4. Click Analyze → FactorMiner Launch

5. Review settings and click analyze

Note: FactorMiner currently lives inside “Factor List” but will soon move to a new home with other “apps”.

Why FactorMiner Matters

Factor libraries can be large!

A single idea – value, quality, growth, sentiment, revisions, momentum, or risk – can have dozens of formula variations.

FactorMiner turns that problem into a repeatable workflow:

• Which formula variation has the strongest standalone predictive power?

• Should higher or lower values be preferred?

• Does the factor work in the top tail, bottom tail, or long/short spread?

• Is the factor too sparse because of missing data?

• Is it redundant with other selected factors?

For long‑only investors, the one stat to watch is:
Ann. High Qtl % – the annualized return of the top bucket.

That’s your starting point. Simple & Data‑driven!

What Users Are Saying

“I just was able for the first time since several months to substantially improve my US strategy... Thanks to FactorMiner”

“20 year simulation based on ML validations: Sim CAGR before 46% → Sim CAGR now 61% at same turnover...”

“Would never have thought that there is THAT much juice left to squeeze in simple univariate feature engineering.”

“Anyway... I love it so far.”

🚀 The Natural Next Step: AI Factor via Linear Machine Learning

FactorMiner is a strong pre-processing tool for AI workflows. It helps you:

• Quickly generate candidate features

• Factors with stronger alpha

• Filter out factors with excessive missing data

But once FactorMiner has pointed you toward promising signals, you’re ready to move from univariate to multivariate.

That’s where AI Factor Linear (ElasticNet I + II) comes in.

Instead of looking at one factor at a time, AI Factor Linear evaluates all factors together – automatically handling correlation and weighting them for maximum predictive power.

I love both methods to get my head around the data!

FactorMiner for single-factor intuition – this is important: always good to know what gives the biggest edge!

AI Factor (for example via linear regularized MLs) for multivariate interaction power.

Together, they give me the full picture!

Best regards,

Andreas

P.S. —>
Zoom Call Link: https://calendly.com/portfolio123meeting

Trial Link: https://invest.portfolio123.com/get-started/

Link to the Portfolio123.com Community: https://community.portfolio123.com/t/factorminer-is-live-faster-factor-discovery-for-alpha-research-and-ai-feature-engineering/76504

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Update 06/11/2026

A New Free Claude Skill That Knows Every Portfolio123 Factor – from Quantsolvings.com

Here we go!

👉 https://quantsolvings.com/insights/free-portfolio123-claude-skill/

Best regards,

Andreas

I'm seeing more and more people use Claude + Portfolio123's API to build successful ranking systems and screens — with productivity wins north of 10x.

Kurtis (@Quant_Kurtis) and Carlos are pioneers here. Their timelines? Packed with this stuff. And enthusiastic? That's putting it mildly.

Claude for Portfolio123.com Coaching Program

- Prompt engineering for reproducible research, not AI slop
- Claude Code for real Python scripts you actually ship
- P123 API integration for ranks, screens, backtests
- Building your own Skills and MCP servers, all the way to your broker (IBKR included)
- A capstone: your own semi-autonomous research agent

Interested? Contact Carlos!

https://quantsolvings.com/#coaching

Best regards,

Andreas

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Update 05/11/2026

I'll keep updating this post from time to time so you can follow the performance of the Models featured on this blog.

For paid subscribers of this Blog “The Factor Edge”

https://www.portfolio123.com/app/group/474/home

Here’s the logic behind this:

My Systematic AI Investing Portfolios (my other blog) is expensive — and for good reason. The small‑cap AI Factor strategies I share there are capacity constrained. They don’t scale to billions. The edge is real, but it’s finite.

The strategies I share here — via P123 (yes, you need at least a Screener Subscription) — have a ton of capacity. That means I can share them openly for this Substack.

DM me here or via my Twitter Account https://x.com/GfI_Himmelreich to get added.

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1) Large Cap Extra Trees TOF

https://www.portfolio123.com/port_summary.jsp?portid=1905357

“Live Trading since” indicated: 12/30/2025 —>

Out of Sample Live Trading since 12/30/2025 (not a backtest, this is Live Trading!) —>

2) Large Cap Extra Trees GPT

https://www.portfolio123.com/port_summary.jsp?portid=1893489

“Live Trading since” indicated: 11/06/2025

OOS Live Trading since 11/06/2025 (not a backtest, this is Live Trading!)—>

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Free Strategies of this Substack

Free models are available in this P123 Research Group:

https://www.portfolio123.com/app/group/317

This is just one example. There are several Strategy Books in the group above.

https://www.portfolio123.com/port_summary.jsp?portid=1853788

This is OOS Live since October 2024:

Here is the Live Strategy Book for the simulation above:

https://www.portfolio123.com/port_summary.jsp?portid=1854362

Free Designer Models

Russel 3000 Profitable Growth Stocks Free!

https://www.portfolio123.com/app/r2g/summary?id=1812296

NASDAQ 100 best growth stocks max. 10 Stocks, Free!

https://www.portfolio123.com/app/r2g/summary?id=1757039

Higher Beta + Earnings in Top 10% S&P500 Universe, Free!

https://www.portfolio123.com/app/r2g/summary?id=1765750

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How to replicate trades to Interactive Brokers or Tradier

Best regards,

Andreas

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The Seven Points of the Energy Moat Landlord Thesis

1. The US has fought with one hand behind its back. Military targets only. Oil, water and electricity untouched. Restraint was not weakness – it was case‑building.

2. Now the US is threatening escalation. Trump’s speech explicitly warned of strikes on Iranian power plants. The off‑ramp is still there (”open the Strait and we stop”), but the next move is Iran’s choice.

3. If Iran does not react, the US goes full force – and no one can blame them. The coalition is unified. The record is clean.

4. Trump studied Reagan. His wall is Iran. Reagan had the Berlin Wall. Trump has the Iranian regime – a 40‑year era of terror funding, proxy wars and nuclear blackmail.

5. Trump’s team needs a decisive win to stay in power. The election is November 2026. The IEA buffer runs out in May‑June. The next 2‑3 months are the window for decisive action.

6. Even if the US has to go deep, it will be worth it. Short‑term pain (oil spikes, market drawdowns) is the price of long‑term structural advantage.

7. The US will move from police to landlord.
   - Control the Strait for US benefit.
   - China buys oil on US terms.
   - Gulf states invest confidently

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Short‑Term Pain, Long‑Term Gain – The US Energy Moat

As discussed, points 3–6 are now in play: the US is going deeper.

President Trump’s latest speech removed any remaining doubt. The war will not end next week. The Strait of Hormuz will not reopen tomorrow. Instead, the administration is preparing for deeper escalation – and the market is slowly waking up to the endgame.

But here is what most commentators miss: the US is not losing. It is repositioning.

The Divergence That Matters

• US natural gas (Henry Hub) closed at $2.82 per mBtu – a six‑month low. American consumers enjoy a bonanza while the rest of the world panics.

• WTI crude oil sits at $104‑105 per barrel. Two weeks ago, the consensus was “$150 if the Strait closes.” That did not happen.

The US has energy. The rest of the world has a problem.

Why Oil Isn’t at $150

The market is doing the math. Pre‑war Strait flow was roughly 20 million barrels per day. About 80% of that has been disrupted, leaving 16‑18 million barrels offline. Pipelines in Saudi Arabia and the UAE have rerouted up to 8.5 million barrels per day, but that is a theoretical maximum. The net loss after rerouting is somewhere between 7.5 and 9.5 million barrels per day.

The IEA released 426 million barrels from strategic reserves. That buys the world about 45 to 57 days of buffer.

The market is not ignoring the war. It is pricing a managed outcome.

What This Means for Markets

The next few months will be volatile. Headlines will scream. The weak hands will sell.

In the long term, the US will enjoy energy dominance, the Gulf will deploy its sovereign wealth, and the global order will be reshaped around American energy leverage.

Why I stick to my #SecularBullMarketUSA Thesis

Will every point of my thesis come true? Not necessarily. But the direction is clear.

Is the US winning? Yes – the military, economic, and diplomatic evidence supports it.

Should investors panic? No. This is a correction, not a collapse.

Is the secular bull case intact? Yes. And the structural tailwinds for a secular bull market are improving.

Demographics
Gen Y and Gen Z are larger than the Boomers. More people in their prime working and consuming years means sustained demand and growth.

Geographics
The Mississippi River system, the Great Lakes, the world’s largest contiguous prime farmland, the sheer size of the country, and abundant energy reserves – the US has an unbeatable natural advantage.

Rule of law
Institutions make mistakes, but they correct them. That is not true in autocratic systems.

Dollar reserve currency
It is not going away. There is no alternative.

Innovation
The internet, e‑commerce, social media, AI – everything is made in the US first. The rest of the world adapts and copies.

Faith / belief
Americans believe in something – God, the nation, money, innovation. That belief fuels risk‑taking and resilience.

Immigration
The US is not perfect, but it integrates talent better than any other country. Jawed Karim, co‑founder of YouTube, left Germany because he could not innovate there. He went to the US and changed the world.

Military Power
The US military is the most capable and battle‑tested force in the world today. It is not just a shield – it is a source of innovation that spills over into the civilian economy. The internet, GPS, drones, and artificial intelligence all emerged from defence research before transforming the commercial world. That two‑way flow – from the military to the private sector and back – creates a lasting innovation advantage. And because the US military is functional, accountable, and funded at a scale that dwarfs any potential rival, it provides a powerful backstop for American economic power.

These are not cyclical factors. They are structural!

I am staying long. Choose your sleeve!

Best regards,

Andreas

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Skin in the Game

First of all: Do I like any of this?

No!

War is a human tragedy. Full stop.

But reality is indifferent to our preferences. As a German investor with my liquid assets concentrated in the States, I can’t afford the luxury of being a spectator. What you’ve just read isn’t a ‘hot take’— it’s my logical framework for a > $1 million bet on the new global architecture. This isn’t theory. It’s my skin in the game (I am 100% long, no hedges!).

The Pain Trade is Up!

Iran’s Strategic Suicide

Tehran hit the self-destruct button the moment it attacked Israel and the Gulf states simultaneously. Not sequentially. Not through proxies. Directly.

With Khamenei gone and the IRGC’s leadership “mowed down,” there’s no one left to steer the wreckage. Here’s why this is a terminal miscalculation.

Markets are pricing the endgame, but the transition will be rocky.

The “Invisible” Alliance

The coalition is finally a wall. When Qatar expels attaches and the UAE calls Iran the enemy, the old “neutrality” is dead. This is now a unified regional front.

This isn't a temporary alliance. The Gulf states have learned they cannot coexist with the Iranian regime. That changes the region for decades.

Operation Epic Fury – The Reset

This isn’t a skirmish; it’s a liquidation. The goal is “Venezuelan Compliance” — controlling the regime’s wallet (Kharg Island) while destroying the nuclear/missile threat.

The Smart Gate

The US now has a “Geopolitical Veto” over the Strait of Hormuz. By controlling Iranian tankers while preparing Direct Escorts for the world, they’ve turned a chokepoint into infrastructure leverage.

China

Beijing’s $400B investment in Iranian oil is now a hostage. The US effectively controls China’s “Energy Oxygen.” That is the ultimate bargaining chip for the next decade of trade.

The U.S. has the luxury of time with record 13.6M bpd exports, while the clock is ticking for energy-starved China and Europe.

Result

• The USA used to be the Police (expensive, thankless, reactive).

• The USA will be the Landlord (controls the keys, sets the rent, dictates the terms).

Why the Media does not get it

• They interpret "Chaos" as "Failure." They can't wrap their heads around the fact that the U.S. is deliberately allowing the "Chaos" to continue because the U.S. is the only player that doesn't run out of oxygen (energy) while the clock ticks.

• The media doesn't understand the Kharg Island "Decency" Strategy. Trump’s move to destroy 90 military targets on the island while sparing the oil pipes is a "Landlord" move — he’s keeping the apartment intact but changing the locks.

• Social Media is currently a battlefield of Information Warfare. The IRGC is excellent at flooding the zone with "Success" footage (drone launches, fiery speeches). Because the U.S. (under the "New Realism" doctrine) is being tighter with operational security and releasing less "cool" footage, the algorithm favors the louder, more desperate side.

The Reality Check

If the U.S. were losing:

• WTI Oil wouldn’t be sitting at $93.95 (it would be at $250).

• US Manufacturing PMI wouldn’t be at 52.4 (it would be crashing).

• Chancellor Merz wouldn’t be talking about Germany joining a Strait mission (he’d be distancing himself)

So, this is how I see things. The next few months will be rocky — but I'm staying long.

Best Regards

Andreas

#SecularBullMarketUSA

#SecularBullMarketUSA

#EnergyMoat

…from https://systvest.substack.com

One of the best articles I have ever read about Quant Investing and P123.

Full stop.

The Substack “Systematic Investing” has done something rare: written a piece that’s simultaneously educational, practical, and deep enough for experienced quants. He walks through the exact layers of building a robust ranking system—starting from universe selection, moving through single-factor traps, and ending with a working multi-factor composite.

If you’re a P123 user, read this. If you’re not, read it anyway — then sign up and support the work ;-)

👇 Link below

Best regards,

Andreas

While our models do very well, I think after the Tariffs news and not so hot GDP, hotter Inflation this article is out of date —>

Point 3 is out of the window after the tariffs news (1 / 2 / 4 is still in play!)

Financials + Tech weak at the same time while Cyclicals lost their story —> no bueno.

We have:

• Growth slowing (1.4% GDP)

• Inflation sticky (2.5–2.7% core)

• Leadership broken (Tech down, Financials down, domestic Cyclicals threatened —> Tariffs news)

• No new tape (and a new tape needs a reset!)

This is a hyper difficult market, and so I am happy to run a systematic approach.

1. Cross Factor Mean Reversion

https://www.portfolio123.com/port_new_book_sim.jsp?1771890685238

This model trades live since October 2024!

2. AI Factor Models

This is 100% out‑of‑sample. No backtest. Just live trading —>

Systematic AI Investing Portfolios

Systematic Investing Portfolios — Built with AI & Machine Learning General Posts are free! 🔹 Includes 3 Live (AI) Strategy Portfolios (Small, Mid/Large, Large Cap) for paying subscribers

By Andreas Himmelreich

Systematic Stockpicking is still Back…

…but now for other reasons ;-)

It's not exciting. But it's working. And in a market like this, working is enough.

Best regards,

Andreas

I’ve been working with Carlos for over a year now — coaching, consulting, and collaborating on hedge fund projects.

He runs a great coaching program for Portfolio123 at quantsolvings.com.

If you’re looking to move from “testing some screens” to building real, factor-driven investment (AI Factor and Traditional) strategies with structured discipline, Carlos is the guy.

Systematic investing, mastered — that’s not just a tagline. It’s what he delivers.

Check it out:

https://quantsolvings.com

Best regards,

Andreas

What Is Cross-Factor Mean Reversion?

Most investors think about mean reversion as a single-stock phenomenon:
“This stock is down too much, so it will probably bounce.”

That’s not what we do.

Cross-Factor Mean Reversion works differently — and it’s far more powerful.

The Core Idea

We don’t mean-revert stocks.
We mean-revert factors.

Here’s how it works.

When Growth is hot, everyone chases it. When it cools, everyone sells.
Value is loved in some years, hated in others.
Low Volatility can be ignored for a decade — until suddenly it’s the only thing working.
Quality looks boring, until it’s the last man standing.

We hold all of them — always.

Not because we know which will work next.
Because we know they take turns.

The Mechanism

When Growth runs up fifty percent, we let it ride — but we rebalance.
When Growth corrects twenty percent, we trim less and let other sleeves catch up.
When Low Volatility struggles for years, we keep holding — because now it’s cheap.
When Low Volatility suddenly works, we’re already there. No chasing needed.

We’re not timing.
We’re structuring.

Why “Cross-Factor”?

Because the reversion happens across factors, not within them.

Single-factor thinking asks: “Is Growth overvalued?”
Cross-factor reality says: “Growth is expensive, Value is cheap — we own both.”

Single-factor thinking asks: “When will Low Vol work?”
Cross-factor reality says: “No idea. So we never sell it.”

Single-factor thinking asks: “Should I add Quality now?”
Cross-factor reality says: “Quality is always there. That’s the point.”

You don’t need to know what’s next.
You just need to own what will be next — before it is.

How This Works in Our Strategy Portfolio (=Strategy Book)

One sleeve captures upside when risk is on — Growth and High Beta.
Another owns companies that survive anything — Quality Value.
A third anchors the book when panic hits — Low Volatility.
And Gold hedges what no one can predict.

None of these work all the time.
Together, they work over time.

Access via free Research Group

Be a member of my free research group to get above’s strategy book:

https://www.portfolio123.com/app/group/317/home

The Free Portfolio Proof

https://www.portfolio123.com/port_summary.jsp?portid=1853788

I build the book around October 2024, so the whole book is OOS (e.g. Live Trading, not a backtest!) since then.

It contains the following strategies + a Gold ETF (equally 25% weighted!) —>

https://www.portfolio123.com/port_summary.jsp?portid=1503605

This one is OOS since 09/01/2017 !!!
(“Andreas, Dividend Stocks will never be back” ;-))

Here is Stability ;-) OOS since 12/09/2016

https://www.portfolio123.com/port_summary.jsp?portid=1457941

Yes, yes, yes, and here is growth (we need it ;-))

https://www.portfolio123.com/app/r2g/summary?id=1765750

Live Portfolio (connect P123 to Interactive Brokers and semi automate trading it!)

https://www.portfolio123.com/port_summary.jsp?portid=1854427

This is not luck.
This is Cross-Factor Mean Reversion doing exactly what it’s designed to do:

• Capture upside when it’s there

• Protect when it’s not

• Never rely on being right about the next regime

Why 25% Gold? The Anchor That Makes the Book Work

In a book built on Cross-Factor Mean Reversion, every sleeve has a job.

Growth captures upside when risk is on. Quality owns companies that survive anything. Low Vol anchors the book when panic hits.

And Gold?

Gold is the structural hedge that ties it all together.

The Data Behind a 25% Gold Position

Research consistently shows that gold in the 20–25% range hits a structural sweet spot .

Portfolios with this allocation have historically posted higher risk-adjusted returns than all-equity allocations, not because gold outperforms, but because it smooths the ride.

Over more than fifty years, gold has demonstrated minimal correlation with stocks and bonds . VanEck’s data puts the long-term correlation between gold and the S&P 500 at essentially zero . That is not a hedge. That is a separate return stream entirely.

In every major crisis — the dot-com bust, the Global Financial Crisis, COVID — gold either held its value or gained while equities plunged . That is not timing. That is structure!

Why Traditional Ranking Systems Are the Perfect Tool for this!

You do not need machine learning for this. You need intentional construction.

With traditional ranking systems, you can build a Growth sleeve that ranks by momentum and earnings acceleration. You can build a Value sleeve that ranks by forward earnings and industry-relative metrics. You can build a Low Vol sleeve that ranks by beta and volatility. You can build a Quality sleeve that ranks by profitability and return on equity. And you can add Gold or other uncorrelated assets as a true diversifier.

Each sleeve is transparent. Each has a clear job. Together, they form a strategy book that does not care which factor is leading — because it owns them all.

Yep, the strategy book also works hedged!

https://www.portfolio123.com/port_summary.jsp?portid=1854582

The Bottom Line

You don’t need to know which factor will work next.

You just need to own all of them —
and let mean reversion do the rest.

That’s Cross-Factor Mean Reversion.
That’s the book ;-)

Best Regards,

Andreas

The headlines say the US economy is in a “Goldilocks” zone — growth up, inflation down. That’s true. But look under the hood, and the usual calm is replaced by violent churn.

This isn’t a random market wobble. It’s the collision of three powerful forces: extreme positioning unwinding, historic valuation gaps, and a productivity shock (AI) that is finally broadening out.

Understanding this chain reaction is your edge for the next few years.

The Four Pillars of the Rotation

1. Positioning Was Extremely Crowded
For years, the trade was simple: own U.S. mega-cap growth. The “Magnificent 7” became a consensus lifetime position. Hedge funds were net long tech at historic highs. Retail was concentrated.
When any trade gets that crowded, the reversal is violent—not because the fundamentals are bad, but because everyone tries to exit at once.

2. Relative Value Stretched to Breaking Point
The valuation gap between mega-cap growth and everything else (small caps, value, cyclicals) became historically wide.
At some point, mean reversion isn’t a theory—it’s a physical force. Money flows from overvalued to undervalued, and that flow is never smooth. It’s a dam breaking, not a faucet turning.

3. AI Is Democratizing (The Real Game Changer)
The first phase of AI was about infrastructure: Nvidia chips, data centers. That benefited a handful of mega caps.
The second phase is about application and productivity. AI is now helping industrials optimize supply chains, helping small caps automate service, helping manufacturers redesign factories.
This means the AI tailwind is broadening to sectors and market caps left out of phase one. Small caps and cyclicals aren’t just “cheap”—they now have a growth narrative for the first time in years.

4. The Rotation Has Fundamental Backing
This isn’t just a positioning flush or a value catch-up. It’s a fundamental rotation.
Small caps are leveraged to accelerating domestic growth. Industrials are benefiting from AI-driven efficiency. Cyclicals are pricing a genuine reflation in economic activity. When a rotation has fundamental backing, it’s not a short-term wobble — it’s a regime shift.

Why This Time Feels Different

This has the hallmarks of a structural regime shift, unlike the false dawns of 2013, 2016, or 2021.

Historical parallels:

• Like 2000–2007: After the Nasdaq peaked, the next seven years weren’t a bear market for everything. They were a rotation out of overvalued large-cap tech and into energy, materials, industrials, and emerging markets. The winners of the previous decade became the losers. It was violent, but sustained.

• Like 2009–2012: By 2011–2012, the market broadened in a way that punished the narrow “safe haven” trade. Banks, small caps, and cyclicals took over.

What Makes This Shift Sustainable

• The Valuation Gap Is Generational: The Magnificent 7 traded at 30–50x earnings while small caps traded at 12–15x. When gaps are that wide, mean reversion tends to last years, not months.

• The AI Story is Just Beginning: Phase one (infrastructure) benefited a handful of names. Phase two (application) benefits thousands of companies. Small caps adopting AI to compete is a multi-year narrative.

• Domestic Cyclicals Have Tailwinds: With manufacturing reshoring, infrastructure spending, and energy independence, domestic cyclicals have a structural bid that didn’t exist in prior years.

• Positioning Still Has Room to Run: Hedge fund and retail exposure to mega-cap tech has eased, but it’s not washed out. Institutional allocations to small caps are still below historical averages. This trade is in early innings.

The Violence is the On-Ramp

Sharp moves scare people. They feel like “something is breaking.”
But in regime shifts, the violence is the mechanism by which capital is forcibly reallocated. It’s the market’s way of prying investors out of consensus positions that became too comfortable.

The question isn’t “bull or bear?”
The question is: Are you positioned for the new regime, or are you still trading the old one?

This has the feel of a multi-year broadening, not a fleeting rotation. Stockpicking isn’t just back — it’s now the only game in town now!

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Best regards,

Andreas

Why This Matters

Factor investing is not a geographic coincidence. It is a structural reality. Mispricings exist wherever human behavior meets institutional friction.

Asia and EM have historically been under-researched, under-modeled, and under-exploited by systematic investors. Local expertise exists, but scalable quantitative infrastructure? Rare.

That changes now!

📈 Why Factor Investing Works Here. Maybe Even Better!

The U.S. is the most efficient equity market on earth. That’s a compliment. It’s also a challenge.

Asia and EM are different. Less coverage. Less arbitrage capital. Less reflexivity between price and fundamentals. That combination creates something beautiful for systematic investors:

Higher dispersion. Wider gaps between winners and losers. Stronger signals for well-constructed models.

The same factors that work in the S&P 500 — value, momentum, quality, revisions—often work better in less efficient markets.

Not because the math is different. Because the noise is louder and the competition is thinner.

🧱 Diversification That Actually Diversifies

U.S. equities trade in lockstep with U.S. macro, U.S. rates, U.S. politics.

Asia and EM offer something genuinely different.

Different monetary policy cycles. Different sector compositions. Different investor behavior patterns. Different sources of growth.

A portfolio that combines systematic U.S. factor exposure with systematic EM factor exposure is not just “more stocks.”

It is a lower-correlation, higher-robustness version of itself.

That’s not diversification for its own sake. That’s engineering.

🔬 What I’m Excited to Explore

When this goes live, I am going to research the hell out of it.

Do EM value premiums decay faster? Or slower? Is momentum more persistent where retail dominates? Do revisions signals translate across accounting regimes? Can we build multi-region models that adapt to local microstructure?

I don’t know the answers yet.

That’s the point.

❤️ Why I Love This

I have spent years building models that work in the U.S. & in Europe!

Now new data is incoming.

And I get to be a student again.

Welcome to the platform, Asia & EM.

I’ve been waiting for you ;-)

Best Regards

Andreas

P123 Email:

It’s official! We’ve finally reached an agreement with FactSet to bring comprehensive global equity data to the platform, with the contract expected to be signed next week. We examined the sample data and it looked excellent. Once released, Portfolio123 will support three regions:

• North America

• Europe

• Asia & Emerging Markets

The data is expected to be available for screening and backtesting in approximately 3–4 months, with full support across all Portfolio123 tools.

You’re receiving this message because you entered a pledge in the Add Asian and Emerging Markets sponsored project. Thank you for your support — it directly enabled this milestone.

New 30% Bonus for Global Subscribers

To celebrate, we’re introducing a new 30% bonus for members who pledge and subscribe to all three regions when they become available. This offer is only valid via pledges and will only be available until the pledges are processed next week.

Final Opportunity to Update Your Pledge

If you’d like to change or retract your pledge, please do so by Thursday, February 19 at 10:00 AM EST. To update your pledge:

• Go to the original sponsored project post

• Edit or enter your pledge

If you plan to use global data, you may want to increase your pledge to take full advantage of this bonus. Because we are committing to a long-term data contract based on these pledges, pledges are non-refundable and will only be applied towards your future Portfolio123 membership costs.

Example:

A $2,000 pledge with all three regions results in $2,600 total credit.

• Year 1: $1,300 credit applied to your first annual membership after launch

• Year 2: $1,300 credit applied to your second annual membership

Thank you again for your support. We look forward to welcoming you into this next chapter of Portfolio123. Let us know if you have any questions. For all the latest information regarding pledge terms and the project, please see the recent forum announcement.

Sincerely,

The Portfolio123 Team

This blog is (also) about the following research group in Portfolio123.com

https://www.portfolio123.com/app/group/317/home

Be a member and follow (for example) the strategies below and / or semi-auto trade them via Interactive Brokers.

Beat the S&P500

Remember the following Strategy book contains a 5% Position of Bitcoin and a 25% Position of Gold —> therefore the Volatility right now!

https://www.portfolio123.com/port_summary.jsp?portid=1854360

https://www.portfolio123.com/port_summary.jsp?portid=1854362

https://www.portfolio123.com/port_summary.jsp?portid=1814216

One Portfolio of Free P123 Strategies

Simple but powerfull!

https://www.portfolio123.com/port_summary.jsp?portid=1853788

https://www.portfolio123.com/port_summary.jsp?portid=1854427

Low Vola (Stability) getting a bid:

Expecting Dividend Growth getting a bid ;-)

Who would’ve thought this eight weeks ago?
Nobody!

These moves are driven by positioning, not narratives — and positioning is notoriously hard to time.

That’s exactly why the strategy book works the way it does:
it sells into strength (FOMO!) and buys into weakness (Underestimation of the long-term performance of a Meta Factor), continuously and systematically.

No forecasts.
No hero calls.
Just disciplined rebalancing.

Simple — but powerful.

One Portfolio of Free P123 Strategies - Hedged

https://www.portfolio123.com/port_summary.jsp?portid=1854582

https://www.portfolio123.com/port_summary.jsp?portid=1854584

Have a great week!

Best regards,

Andreas

February 5, 2026

The financial press has spent the last years writing eulogies for growth stocks, pointing to concentration risk, valuation fears, and the seemingly endless dominance of a handful of mega-cap names as evidence.

The Definition Trap

When most investors hear “growth,” they think sectors (tech, biotech) or characteristics (high P/E ratios, no dividends). They’re chasing a label, not an engine.

This flawed mental model leads directly to flawed outcomes. You buy “growth stocks” because they’re supposed to be growth stocks, not because they’re actually growing in any meaningful, forward-looking sense.

True alpha in equity investing doesn’t come from buying what was growth. It comes from identifying what is becoming growth — and the most reliable early signal of that transformation is hiding in plain sight.

The Signal (almost) Everyone Misses

Growth isn’t a sector. It isn’t a valuation multiple. Growth is a signal: the accelerating expectation of future earnings.

In quantitative terms, it’s this:

Current Quarter EPS Mean / Current Quarter EPS 13 Weeks Ago

This simple ratio — tracking how analyst estimates for the current quarter have changed over the last three months—captures something profound: the collective intelligence of the market’s research community shifting its expectations upward.

When this ratio is high, it means analysts are raising their estimates sharply. They’re seeing something most investors haven’t yet priced in: accelerating fundamentals, surprising demand, operational improvements, or competitive gains.

And here’s what most investors completely miss: this signal is sector-agnostic.

An oil company witnessing a surge in crude prices can show explosive estimate acceleration (2022!).

Any company, in any sector, can be a “growth stock” by this definition—if its near-term earnings trajectory is improving faster than expected.

Why This Works When Traditional Growth Fails

The beauty of this approach isn’t just in its simplicity, but in its timing. Estimate revisions are forward-looking and responsive.

While traditional growth metrics often look backward (revenue growth over the last year) or are slow-moving (long-term earnings projections), weekly estimate revisions capture real-time changes in business momentum.

This is crucial in today’s market, where:

1. Information disseminates rapidly — analyst updates hit terminals within minutes

2. Business cycles accelerate — competitive advantages can erode in quarters, not decades

3. Market leadership rotates faster — yesterday’s winner can be tomorrow’s laggard

A strategy based on estimate acceleration naturally rotates toward where the momentum is happening now, not where it happened last year.

The Framework: Turning Signal into Strategy

A powerful signal alone isn’t a strategy. It needs context, constraints, and complementary factors to become sustainable alpha. Therfore we use the Core Combination Ranking System:

No Backtest Theater

I’m weary of “strategies” that show miraculous backtest results but crumble in live markets. This approach is different:

• Live since February 2024 with transparent, pre-defined rules

• Weekly rebalancing to capture fresh momentum

• No discretionary overrides — the system trades itself

The performance speaks for what it is: a systematic approach to capturing earnings momentum, balanced with quality and value considerations, executed without emotion.

https://www.portfolio123.com/app/r2g/summary?id=1765750

The Mental Shift Required

Adopting this framework requires letting go of cherished investing myths:

1. Let go of sector biases — growth can come from anywhere

2. Let go of valuation dogmatism — momentum can persist even in “expensive” stocks

3. Let go of narrative investing — the data tells the story, not the headlines

4. Let go of “set and forget”— earnings momentum requires active rotation

Best regards,

Andreas

Beat the S&P 500 Young Investors

Backtest + Live Trading

https://www.portfolio123.com/port_summary.jsp?portid=1854360

The Architecture of the “Beat the S&P 500” Strategy Book

Here’s a breakdown of how this portfolio strategy is constructed, focusing on its core design principles rather than its historical results.

🏗️ Portfolio Blueprint: A Three-Pillar Approach

Pillar 1: The Stability Foundation (25%)

• Gold: Acts as a permanent diversifier and non-correlated asset

• Function: Provides ballast during equity market stress and monetary uncertainty

• Design Principle: Not for explosive growth, but for portfolio insurance and volatility dampening

Pillar 2: The Quality Core (25%)

• “Buffett Quality” Sleeve: Companies selected for durable competitive advantages

• Characteristics: High profitability, strong balance sheets, predictable earnings

• Design Principle: Represents the “never sell” portion—businesses you could theoretically hold forever

Pillar 3: The Growth Engine (50%)

• Three Complementary Strategies:

  1. S&P 500 Focus: Large-cap, established growth at reasonable prices

  2. Nasdaq 100 Focus: Innovation-driven, technology-heavy growth

  3. Russell 3000 Focus: Broad exposure including smaller, faster-growing companies

• Design Principle: Capture growth across different market segments and risk profiles

🔄 The Strategic Logic Behind the Structure

Diversification Across Multiple Dimensions:

1. Asset Class: Precious metals vs. equities

2. Investment Philosophy: Deep quality vs. growth/momentum

3. Market Cap Spectrum: Mega-cap to mid-cap exposure

4. Sector Exposure: Balanced across traditional, tech, and broad market

The Rebalancing Mechanism:

• Rebalancing: Forces systematic profit-taking from outperforming segments

• Natural Contrarian Effect: Automatically allocates funds to relatively underperforming areas

• Discipline Over Emotion: Removes timing decisions from the investor’s hands

Risk Management Built-In:

• Non-Correlated Elements: Gold typically moves independently of stocks

• Quality Anchor: Buffett-style holdings tend to be less volatile than pure growth stocks

• Growth Diversification: Three different growth approaches prevent overconcentration in any single theme

🧩 How the Pieces Work Together

During Market Euphoria:

• Growth sleeves likely outperform

• Gold and quality sleeves may lag

• Rebalancing Action: Trim growth profits to replenish gold/quality allocations

During Market Stress:

• Gold may appreciate or hold value

• Quality companies may prove resilient

• Growth stocks may see sharper declines

• Rebalancing Action: Use gold/quality stability to buy growth at lower valuations

During Normal Markets:

• Each sleeve pursues its objective

• Quarterly rebalancing maintains target allocations

• The system waits patiently for the next extreme

🎯 The Underlying Philosophy

This portfolio embodies several timeless investment principles:

1. Permanent Allocation: Gold represents a permanent, non-stock holding

2. Core-Satellite Approach: Quality as the core, growth as satellites

3. Factor Diversification: Different factors (quality, growth, momentum) perform well in different environments

4. Mechanical Discipline: Rules-based rebalancing eliminates emotional decision-making

💡 Key Design Takeaways

What Makes This Structure Intelligent:

• Simplicity: Only four components total

• Clarity of Purpose: Each sleeve has a distinct, understandable role

• Self-Correcting: Rebalancing creates automatic “buy low, sell high” behavior

• Robustness: Designed to weather various market environments

Live Trading Beat the S&P

The corresponding Live Strategy Book (you can “copy trade” this live strategy book!) is here:

https://www.portfolio123.com/port_summary.jsp?portid=1854362

How to access?

1. To access my strategy books, you need a “Backtest” Subscription or take a trial here https://invest.portfolio123.com/get-started

2. Be a member of my (free) research group in Portfolio123.com —> go to the following link and hit the member button
   https://www.portfolio123.com/app/group/317/home

3. Then Click on “Member Data” and choose your sleeve

Click on Member Data and then Simulated Books (to see the whole Backtest History) and then Live Books (to see all Live trades since we started after we back tested).

As you can see above, I have much more in my Research Group (more Simulated and Live Strategy Books).

Plus here are my best P123 screens + an ETF Trend System

• Liquid CANSLIM Leaders

• A and E Substack Screen (Actuals / Earnings + Liquidity) Screen

• QUAD 1-2 CANSLIM Market Timing

• Low Correlation ETF Trend System

Read more

Thank you for your vigilance.

Best regards,

Andreas

My heart is with discretionary traders. I’ve learned more from their chart reads, intuition, and market feel than from any quant model. Some of you spot patterns and shifts I’d never catch with code alone.

But here’s what I am wondering about!

I see so many screens and scanners shared in trading communities — clean charts, bullish set-ups, breakout lists — that, when backtested, show a negative expectancy.

So here’s my pitch:

Why not test your screen before you trade it?

What if, instead of hoping your set-up works, you knew it had a statistical edge? What if you could filter your watchlist through a backtested, fundamental engine — and then apply your discretionary entry?

That’s not replacing intuition. It’s arming it.

In this post, I’ll show you a simple, rules-based portfolio strategy that uses EPS acceleration as its engine.

You don’t have to trade it as-is. But you should understand it. Because when you combine a backtested screen with a discretionary eye, you’re not just trading charts: You’re trading probability.

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Why Swing Traders Should Care

1. Your chart patterns work better on stocks with EPS acceleration.
   A breakout with strong fundamentals behind it is more likely to follow through.

2. Your stop-losses are smarter when based on both price AND fundamentals. If the EPS story is still intact, maybe you hold through a dip. If it’s broken, you cut fast.

3. Your watchlist should start with fundamentals, then add charts.
   Flip the process: “Which stocks have the strongest earnings momentum right now? Okay, now which of those are in a bull flag?”

Portfolio Strategy

(Note: I originally built this fully automated Portfolio Strategy for allocators [DM me if interested]. Because the sell rules are proprietary — and honestly, discretionary traders would tailor exits to their own style anyway — I can’t share the full strategy. But the buy rules and ranking engine are exactly what we’ve cover in this blog.)

The Screen: How It Works & Why It’s So Reliable

This isn’t a typical scanner — it’s a fundamentally-driven momentum engine designed to catch stocks before they make big moves. Let’s break it down layer by layer.

The Ranking System: “Core Combination”

Before we get to the screen rules, it’s important to understand the ranking system this model can use: Core Combination.

This is a multi-factor scoring model that blends six proven investing “cores”:

• Quality (30%) – Financially healthy companies

• Value (25%) – Stocks trading below intrinsic value

• Growth (15%) – Companies with strong future earnings potential

• Momentum (10%) – Price and earnings momentum

• Low Volatility (10%) – Stable, less risky stocks

• Sentiment (10%) – Analyst upgrades and market mood

Why this matters:
Instead of betting everything on one metric (like P/E or RSI), this ranking balances stability (Quality, Low Vol) with growth (Growth, Momentum) and value (Value). The result is a watchlist of stocks that are not only strong now — they’re built to hold up in different market conditions.

💡 For swing traders: This ranking acts like a “fundamental health check.” A stock scoring high here is less likely to collapse on bad news.

The Screen Rules: The “EPS Acceleration” Filter

The screen itself then applies five strict buy rules (all must be true):

1. Liquidity Filter
AvgDailyTot(20) > $100,000,000
→ Only stocks with high average daily dollar volume. No illiquid traps.

2. EPS Revision Rank
FRank("CurQEPSMean/CurQEPS13WkAgo", #all, #DESC, #ExclNA) > 90
→ Must be in the top 10% of all stocks for positive earnings estimate revisions over the past 13 weeks.

3. Actual EPS Growth Rank
FRank("ActualGr%PQ(#EPS)", #all, #DESC, #ExclNA) > 80
→ Must be in the top 20% for year-over-year earnings growth.
Actuals data in FactSet comes directly from company press releases and SEC filings — it’s the true reported financial results (e.g., actual EPS, revenue, margins) released by the company itself. This is raw, unfiltered reality.

4. Market Cap Filter
mktcap > $1,000,000,000
→ Only mid-to-large cap companies. Reduces small-cap volatility and fraud risk.

5. EPS Acceleration
CurQEPSMean > CurQEPS13WkAgo
→ The core signal: analysts are raising their current-quarter estimates compared to 13 weeks ago.

The Backtest Rules & Results

The Psychology Behind the Rules

This screen is built on earnings acceleration, one of the most predictive factors in finance. Here’s why:

• Analysts are slow to react. When they start raising estimates, it usually means underlying business trends are improving faster than expected.

• Institutions follow revisions. Big money flows into stocks where earnings outlook is improving.

• Price follows earnings. It’s not a perfect correlation every day, but over weeks and months, stocks with rising EPS estimates tend to outperform.

In short: You’re buying stocks where the story is getting better, not just where the chart looks good.

Link to the Screen:

Read more