Three rules. Reading a concentrated portfolio before you trust it.
This morning Kelly told us sizing is the bridge between a forecast and a portfolio decision. Strategy 14 is what twenty sized bets look like on a live factsheet. Three checks before any concentrated portfolio earns a place.
01
Position sizing is what makes twenty names a portfolio. Not a coin flip.
Equal-weight at about five pct per name is the design choice. No single line can unwind the whole book on a single quarter, no single winner pulls the cohort into one-stock-risk. Half Kelly is the practitioner default. Equal-weight at five pct on Nifty 100 momentum names sits comfortably inside that band by design, not by accident.
02
Concentration is a Sharpe story. Not a CAGR story.
Half the names of a Nifty 50, almost twice the Sharpe. 1.24 against 0.78. The CAGR triples on the chart because the chart is the headline. The Sharpe is what tells you the return arrived through every unit of risk you took, not just the surplus. The hole is deeper too. Pick by the depth of hole you can hold through, not by the bigger CAGR line.
03
The four week cadence is the cost line. Not the headline.
Cost ratio 13.2 pct of gross over five years at a flat 0.2 pct on traded value per leg. Net 235.82 pct on a gross 271.66 pct. The discipline is what earned the Sharpe. The cadence is the receipt. Treat it the same way you treat the TER on a fund factsheet, except the line item is visible and the trades land in your demat.
Closer
Twenty names is not the magic. Equal-weight is not the magic. The four week rebalance is not the magic. The portfolio that survives the drawdown is the one where every name is sized so no single line can unwind the whole book. The math says the same thing three different ways.
See the twenty live holdings, the 5Y backtest, and the full Risk Metrics Report.
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