CLAUSE · BACKTEST REPORT · HYPOTHETICAL PERFORMANCE

Kelly's calm giants

“each month hold the 5 lowest-volatility names among AAPL MSFT NVDA GOOGL AMZN META AVGO COST V JNJ with half-kelly sizing”

Tested over October 2014 to October 2026. On data sealed Oct 15, 2026. Published 15 October 2026.

The contract

1. Universe. Trade only AAPL, MSFT, NVDA, GOOGL, AMZN, META, AVGO, COST, V, JNJ.
2. Signal. On the first trading day of each month at 09:35 ET, read each universe member’s 63-day realized volatility.
3. Rebalance. Rebalance into the bottom 5 of the universe by 63-day realized volatility, sized by 0.5x Kelly on a 126-day lookback.

Equity vs SPY, dividends reinvested

STRATEGYTHE SAME NAMES, DIVIDENDS REINVESTEDHOLDINGSSPY, DIVIDENDS REINVESTEDlog scale

HOLDINGS5 names at a time, 9 over the run

Tear sheet

TOTAL

+811%

CAGR

+20.2%

VOL

18.9%

SHARPE

0.98

SPY SHARPE

0.76

BUY-AND-HOLD SHARPE

1.03

SORTINO

1.38

MAX DD

−29.6%

LONGEST DD

622 days

BETA

0.85

GROSS

96.2%

GROSS MAX

100%

NET

+96.2%

LONG

97.2%

SHORT

0.0%

TRADES

579

TURNOVER

311%

COST DRAG

0.3%

CAPACITY

$7,689,737 (AVGO)

FINAL VALUE

$910,883 from $100,000

Per-clause attribution

What each clause earned while its decision governed the portfolio, holds included; these add up to the total return. The second figure re-runs the backtest with that clause removed and shows how the result would change.

EARNEDWITHOUT

Clause 3

+811%−811%

About these numbers

Window

Tested from Oct 3, 2014 to Oct 14, 2026. On a copy of the market sealed Oct 15, 2026.

Fills

Orders fill at the next open, 5 basis points each way.

Borrow

Every short pays 0.3% a year on the value of the position for each calendar day it is held. Where our data carries short interest, the rate steps up with short interest as a percent of shares outstanding, using the figure that was public before each session.

An assumption, not a record: we hold no historical borrow rates.

Short interest	Borrow
20% of shares outstanding or more	12% a year
10% of shares outstanding or more	4% a year
5% of shares outstanding or more	1.5% a year
under 5%, or none on file	0.3% a year

Dividends

Cash dividends are credited on the ex-date to whoever held the shares at the close before it: a long receives them, a short pays them, and the cash is reinvested at the next open. Capital gain distributions and dividends paid in stock are not modelled..

Margin

No margin interest, no maintenance calls modelled.

Delistings

A holding that stops trading exits at the last print held.

Halts

Treated like a delisting.

Attribution

Each clause's share of the result is measured by re-running the backtest without it.

Hypothetical performance on historical data. The same contract on the same data and cost model reproduces this number exactly. Backtests are not indicative of future results.