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Torchcast research · Stock selection

Mechanical books, probabilistic forecasts

The 2025-08-05 study, held 2025-08-05 → 2026-07-13 · 235 trading days · equal weight, buy and hold, no rebalance, no costs
Growth book
+55.2%
67 names · Sharpe 2.20 · beta 1.25
Value book
+31.7%
61 names · Sharpe 1.68 · beta 0.81
S&P 500
+19.9%
Cap-weighted · Sharpe 1.25
S&P 500 equal weight
+18.4%
Equal-weight bar · Sharpe 1.23
-12%0%+12%+24%+36%+48%+60%+72%AUG 5SEPOCTNOVDECJANFEBMARAPRMAYJUNJUL 13GROWTH+55.2%VALUE+31.7%S&P 500+19.9%
Growth book · 67 namesValue book · 61 namesS&P 500
GrowthValueS&P 500
Total return+55.2%+31.7%+19.9%
Ann. volatility20.5%15.8%12.7%
Sharpe (rf 4.3%)2.201.681.25
Max drawdown−8.1%−7.4%−8.9%
Beta vs S&P 5001.250.811.00
Alpha (ann.)+24.9%+13.5%—
Alpha t-stat1.91.1—
Positive months83%83%75%

How a book is built

Step 01Screen the universe

The S&P 500 ex-financials, ex-real-estate, screened on price, size and drawdown into a candidate pool.

Live books

The books as they stand now, struck from the latest forecast run. Equal weight at each fill, long only, no costs — the same construction the study above tests, running forward instead of backward.

Value book
+4.5%
62 names · 2026-07-27 open → 2026-10-12 close · not updated for 8 sessions
vs S&P 500 EW
+4.9 pp
Equal-weight, −0.4% over the window · −0.2 pp vs the cap-weighted S&P 500 (+4.7%)
Growth book
+8.9%
65 names · 2026-07-27 open → 2026-10-12 close · not updated for 8 sessions
vs S&P 500 EW
+9.3 pp
Equal-weight, −0.4% over the window · +4.2 pp vs the cap-weighted S&P 500 (+4.7%)
-3%0%+3%+6%+9%+12%JUL 27AUGSEPOCT 12VALUE+4.5%S&P 500 EW−0.4%
TickerSectorFwd E/PEntryReturn
CHTRCommunication Services86.2%$125.49−18.3%
SMCIInformation Technology41.4%$30.60+30.7%
BLDRIndustrials26.0%$74.30−29.8%
LULUConsumer Discretionary24.5%$117.59−19.5%
MOSMaterials22.2%$22.42−15.2%
TTDCommunication Services21.3%$17.79−32.9%
CMCSACommunication Services21.2%$22.43−6.4%
LENConsumer Discretionary20.8%$86.01−12.6%
CIHealth Care19.6%$289.65−1.6%
UBERIndustrials18.1%$66.38+7.7%
+ 52 more holdings55% of the book is above its fill
-3%0%+3%+6%+9%+12%JUL 27AUGSEPOCT 12GROWTH+8.9%S&P 500 EW−0.4%
TickerSectorAccelEntryReturn
MRNAHealth Care+176.1 pp$54.75+290.4%
TSLAConsumer Discretionary+129.4 pp$313.24+20.7%
ALBMaterials+24.6 pp$114.92−14.0%
LDOSIndustrials+17.1 pp$112.35+8.6%
REGNHealth Care+12.1 pp$661.77+15.4%
CRMInformation Technology+9.6 pp$168.00+39.5%
GISConsumer Staples+9.2 pp$36.24−9.8%
TRGPEnergy+8.3 pp$276.43+5.6%
APPInformation Technology+7.9 pp$404.75−33.1%
BRIndustrials+7.5 pp$151.32+10.6%
+ 55 more holdings58% of the book is above its fill

Research and forecasts, published for information only. Nothing here is investment advice.