Focused Largecap 20 Spotlight

This morning we wrote about position sizing. Full Kelly is a graveyard with the right tombstone math. Half Kelly is the practitioner default. A hundred pct equity SIP is already roughly quarter Kelly by design, not by accident. The math is clean. The portfolio it produces is the harder part.

Monday evening, here is what that sizing logic looks like on a live factsheet.

Strategy 14 picks twenty names from the Nifty 100, equal-weight at about five pct each, rebalanced every four weeks. Twenty momentum picks under a five thousand rupee stock price cap. Five year backtest prints 27.40 pct CAGR against the Nifty 50 TRI at 10.44 pct. Sharpe nearly doubles, 1.24 against 0.78. Max drawdown is a different story. 27.23 pct against the Nifty's 16.92 pct, so the hole is deeper by more than ten points. Volatility 21.35 against 14.04. The Sharpe survives both because the return is paid by every unit of risk you took, not just the surplus.

The defensive twin sits next door. Same twenty names, same four week rebalance, but eighty pct equity, ten pct LIQUIDCASE, ten pct GOLDBEES on top. That sleeve runs 25.03 pct CAGR, Sharpe 1.28, max DD 23.23 pct. The Sharpe is fractionally higher on the mix. The CAGR is two and a third points lower. Two ways of expressing the same twenty-stock idea. The Sharpe says they are nearly the same trade. Pick by what depth of hole you can SIP through, not by the bigger CAGR line.

Three rules I keep coming back to. Position sizing is what makes twenty names a portfolio and not a coin flip. Concentration is a Sharpe story, not a CAGR story. The four week cadence is the cost line, not the headline, and thirteen pct of gross over five years is the receipt for the discipline