Keep vs Sell — Holdings (from shared_data.RData)

Holdings universe is fund.names = colnames(returns) from: /home/mobile/Trading/trading/tmp/Portfolio_optimization/shared_data.RData. Baseline portfolio is equal-weight unless a current weights vector is found in the RData.

Universe: 43 tickers Window: last 252 obs Sharpe base: 1.20 Vol base: 12.85% Return base: 15.43% SELL if ΔSharpe ≥ 0.03 and RiskContrib ≥ 4%
Holdings % Portfolio Weight Risk Contrib % Ann Return Ann Vol Sharpe Beta vs Portfolio Max Drawdown ES(95) ΔSharpe if Sold ΔVol ΔReturn Action
TSPH
High risk contribution, weak standalone reward; removing improves portfolio Sharpe.
 2.33% 12.41% -169.67% 180.65% -0.94 3.62 188.22% -24.55% 0.410 -0.54 pp 4.41 pp SELL
WISE
High risk contribution, weak standalone reward; removing improves portfolio Sharpe.
 2.33% 4.82% 7.58% 33.43% 0.23 2.06 38.31% -4.43% 0.049 -0.35 pp 0.19 pp SELL
ARTY
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 4.56% 49.49% 30.03% 1.65 1.93 19.87% -4.22% -0.032 -0.34 pp -0.81 pp KEEP
QTUM
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 4.27% 48.78% 27.29% 1.79 1.81 16.06% -3.52% -0.036 -0.28 pp -0.79 pp KEEP
BOTZ
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 3.99% 25.02% 25.21% 0.99 1.68 19.65% -2.99% 0.003 -0.22 pp -0.23 pp KEEP
CQQQ
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 3.96% 14.69% 29.53% 0.50 1.68 27.57% -3.75% 0.022 -0.21 pp 0.02 pp KEEP
AIQ
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 3.93% 35.13% 24.49% 1.43 1.66 17.37% -3.20% -0.016 -0.22 pp -0.47 pp KEEP
KARS
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 3.61% 68.60% 26.21% 2.62 1.52 9.69% -3.28% -0.082 -0.18 pp -1.27 pp KEEP
KWEB
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 3.48% -8.83% 27.44% -0.32 1.49 36.54% -3.60% 0.059 -0.14 pp 0.58 pp KEEP
PRNT
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 3.27% 12.38% 23.01% 0.54 1.35 18.77% -2.74% 0.015 -0.10 pp 0.07 pp KEEP
TECB
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 3.13% 19.16% 20.72% 0.93 1.30 16.94% -2.59% 0.002 -0.09 pp -0.09 pp KEEP
SCHG
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.99% 21.92% 20.00% 1.10 1.25 17.06% -2.47% -0.005 -0.07 pp -0.15 pp KEEP
IEMG
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.92% 36.57% 18.19% 2.01 1.24 13.65% -2.64% -0.032 -0.08 pp -0.50 pp KEEP
QQQI
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.69% 9.52% 17.96% 0.53 1.12 14.15% -2.32% 0.014 -0.04 pp 0.14 pp KEEP
SCHE
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.62% 27.59% 16.55% 1.67 1.12 11.57% -2.28% -0.019 -0.04 pp -0.29 pp KEEP
IXUS
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.53% 31.56% 15.49% 2.04 1.07 11.63% -2.13% -0.028 -0.02 pp -0.38 pp KEEP
JEPQ
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.49% 13.58% 16.58% 0.82 1.03 10.52% -2.14% 0.004 -0.01 pp 0.04 pp KEEP
VXUS
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.48% 31.98% 15.24% 2.10 1.05 11.64% -2.03% -0.029 -0.02 pp -0.39 pp KEEP
AVDV
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.28% 54.39% 15.98% 3.40 0.97 13.46% -2.18% -0.073 0.01 pp -0.93 pp KEEP
GWX
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.22% 39.56% 14.86% 2.66 0.94 12.14% -1.93% -0.047 0.02 pp -0.57 pp KEEP
DVYE
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.18% 36.53% 15.35% 2.38 0.92 6.92% -1.94% -0.042 0.03 pp -0.50 pp KEEP
VYMI
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 2.08% 37.21% 13.98% 2.66 0.87 10.99% -1.81% -0.044 0.04 pp -0.52 pp KEEP
JPEM
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.88% 22.93% 12.59% 1.82 0.79 10.62% -1.77% -0.020 0.06 pp -0.18 pp KEEP
IGRO
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.77% 21.70% 12.45% 1.74 0.75 10.45% -1.60% -0.019 0.08 pp -0.15 pp KEEP
HAUZ
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.65% 15.13% 13.64% 1.11 0.69 14.26% -1.79% -0.008 0.10 pp 0.01 pp KEEP
JEPI
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.64% 6.42% 11.54% 0.56 0.66 7.29% -1.48% 0.008 0.09 pp 0.21 pp KEEP
LHA.DE
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.63% 17.24% 32.39% 0.53 0.73 24.92% -4.59% -0.013 0.11 pp -0.04 pp KEEP
VNQI
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.60% 13.35% 13.67% 0.98 0.67 14.97% -1.98% -0.006 0.10 pp 0.05 pp KEEP
FLSA
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.58% -1.60% 16.71% -0.10 0.64 13.45% -1.95% 0.023 0.09 pp 0.41 pp KEEP
SCHD
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.51% 21.04% 13.92% 1.51 0.58 5.49% -1.69% -0.022 0.12 pp -0.13 pp KEEP
SCHY
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.50% 31.84% 12.60% 2.53 0.63 9.41% -1.70% -0.041 0.12 pp -0.39 pp KEEP
VGER.DE
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.08% 9.06% 15.93% 0.57 0.47 12.24% -2.42% -0.004 0.17 pp 0.15 pp KEEP
PFF
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 1.07% 3.23% 7.82% 0.41 0.44 6.38% -1.05% 0.008 0.15 pp 0.29 pp KEEP
EXSB.DE
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 0.86% 17.32% 14.96% 1.16 0.37 10.11% -2.25% -0.021 0.19 pp -0.05 pp KEEP
KXI
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 0.82% 8.37% 12.28% 0.68 0.30 10.34% -1.61% -0.005 0.19 pp 0.17 pp KEEP
SCYB
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 0.71% 2.64% 5.45% 0.48 0.29 3.79% -0.77% 0.006 0.19 pp 0.30 pp KEEP
QDVX.DE
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 0.54% 13.01% 11.86% 1.10 0.23 8.35% -1.71% -0.017 0.23 pp 0.06 pp KEEP
QDVW.DE
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 0.53% 21.17% 12.86% 1.65 0.23 5.71% -1.68% -0.032 0.24 pp -0.14 pp KEEP
XHYG.DE
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 0.25% -0.44% 4.11% -0.11 0.11 4.97% -0.69% 0.007 0.24 pp 0.38 pp KEEP
SPSK
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 0.22% -0.03% 4.27% -0.01 0.09 5.00% -0.65% 0.006 0.24 pp 0.37 pp KEEP
SCHZ
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 0.20% 0.60% 4.26% 0.14 0.08 2.84% -0.65% 0.005 0.24 pp 0.35 pp KEEP
JPIE
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 0.16% 1.16% 2.43% 0.48 0.07 1.59% -0.49% 0.003 0.25 pp 0.34 pp KEEP
JGPI.DE
Keep: either improves diversification/reward or removal does not improve Sharpe enough.
 2.33% 0.00% -3.49% 10.07% -0.35 -0.04 8.17% -1.47% 0.009 0.28 pp 0.45 pp KEEP
What SELL means here: 'Sell entirely' candidates are holdings that (a) contribute meaningfully to risk, (b) have weak standalone reward vs peers, and (c) improve portfolio Sharpe when removed and the rest is reweighted. This is a practical, implementable rule to identify 'huge risk / minimal reward' tickers.