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Main Idea
The portfolio consists of five equally weighted assets from the S&P 500 Universe, selected based on high short-term momentum and low volatility. The portfolio construction process begins by creating an investment universe of the 500 constituents of the S&P 500 index. An alpha module ranks these assets according to their high momentum and low volatility. The model then selects five assets and assigns equal weights across them. The execution module uses this information to rebalance the portfolio at the beginning of each month.
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