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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
+3.5%
62 names · 2026-07-27 open → 2026-10-05 close · not updated for 4 sessions
vs S&P 500 EW
+4.8 pp
Equal-weight, −1.3% over the window · −0.8 pp vs the cap-weighted S&P 500 (+4.3%)
Growth book
+7.7%
65 names · 2026-07-27 open → 2026-10-05 close · not updated for 4 sessions
vs S&P 500 EW
+9.0 pp
Equal-weight, −1.3% over the window · +3.4 pp vs the cap-weighted S&P 500 (+4.3%)
-3%0%+3%+6%+9%+12%JUL 27AUGSEPOCT 5VALUE+3.5%S&P 500 EW−1.3%
TickerSectorFwd E/PEntryReturn
CHTRCommunication Services86.2%$125.49−14.1%
SMCIInformation Technology41.4%$30.60+41.1%
BLDRIndustrials26.0%$74.30−25.1%
LULUConsumer Discretionary24.5%$117.59−20.8%
MOSMaterials22.2%$22.42−4.2%
TTDCommunication Services21.3%$17.79−32.7%
CMCSACommunication Services21.2%$22.43−3.8%
LENConsumer Discretionary20.8%$86.01−13.5%
CIHealth Care19.6%$289.65−5.8%
UBERIndustrials18.1%$66.38+4.7%
+ 52 more holdings50% of the book is above its fill
-3%0%+3%+6%+9%+12%JUL 27AUGSEPOCT 5GROWTH+7.7%S&P 500 EW−1.3%
TickerSectorAccelEntryReturn
MRNAHealth Care+176.1 pp$54.75+271.2%
TSLAConsumer Discretionary+129.4 pp$313.24+20.9%
ALBMaterials+24.6 pp$114.92−8.9%
LDOSIndustrials+17.1 pp$112.35+6.7%
REGNHealth Care+12.1 pp$661.77+9.9%
CRMInformation Technology+9.6 pp$168.00+37.0%
GISConsumer Staples+9.2 pp$36.24−12.6%
TRGPEnergy+8.3 pp$276.43+4.5%
APPInformation Technology+7.9 pp$404.75−30.3%
BRIndustrials+7.5 pp$151.32+5.8%
+ 55 more holdings54% of the book is above its fill

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