xPortfolios Large Cap Alpha
Twenty S&P 500 companies in equal weights, reviewed every week, for clients who want an actively managed large-company basket.
- Market
- United States
- Holdings
- 20 US-listed stocks
- Rebalancing
- Weekly
- Benchmark
- S&P 500
- Strategy
- Large Cap
- Currency
- USD
- Inception
- 13 Jul 2021
Method and research
Residual (idiosyncratic) momentum: for each eligible member of the index, the part of its return explained by the broad market is separated from the part specific to the company, and companies are ranked on the consistency of that company-specific part over the medium term, leaving out the most recent weeks. Twenty companies at equal weights, reviewed weekly. Momentum research: Blitz, Hanauer & Vidojevic (2020), International Review of Economics & Finance; Blitz, Huij & Martens (2011), Journal of Empirical Finance; Gutierrez & Pirinsky (2007), Journal of Financial Markets; Grundy & Martin (2001), Review of Financial Studies. Risk and volatility research: DeMiguel, Garlappi & Uppal (2009), Review of Financial Studies; Ang, Hodrick, Xing & Zhang (2006), Journal of Finance; Campbell, Lettau, Malkiel & Xu (2001), Journal of Finance. The parameters, eligibility thresholds and data sources are proprietary.
Every week xPortfolios publishes the dated target weights for the xPortfolios Large Cap Alpha and the exact changes since the previous decision, through the partner portal, files, the JSON API, webhooks or SFTP. Your firm sizes the positions, places the trades and keeps the client relationship.
Published record
Returns to 26 Oct 2026, after an estimated trading cost of 0.50% per purchase or sale; three years, five years and since inception are averages a year. Past model results are not a forecast.
| Period | Portfolio | S&P 500 |
|---|---|---|
| 1 month | +0.50% | -0.79% |
| 3 months | +11.60% | +3.85% |
| 6 months | +19.88% | +7.77% |
| Year to date | +42.69% | +13.15% |
| 1 year | +46.95% | +14.29% |
| 3 years (a year) | +26.94% | +24.45% |
| 5 years (a year) | +14.36% | +12.47% |
| Since inception (a year) | +14.90% | +12.80% |
Risk since 13 Jul 2021:
- Volatility
- 21.25%Benchmark 16.72%
- Maximum drawdown
- -20.65%Benchmark -24.53%
- Sharpe ratio
- 0.58Benchmark 0.59
- Beta
- 0.86
- Alpha since inception (a year)
- +4.11%
- Alpha year to date
- +20.64%
The trading book started with 100,000 USD on 13 Jul 2021 and was worth 207,354 USD on 26 Oct 2026.
Current holdings
Weekly decision effective 26 Oct 2026. 10 of the 20 holdings are shown here; partners see them all.
- BEN Franklin Resources Inc
- IEX IDEX Corporation
- KEYS Keysight Technologies Inc
- LITE Lumentum Holdings Inc
- MRK Merck & Company Inc
- NUE Nucor Corp
- STT State Street Corp
- STX Seagate Technology PLC
- VLO Valero Energy Corporation
- WDC Western Digital Corporation