CLAUSE · BACKTEST REPORT · HYPOTHETICAL PERFORMANCE

The mega-cap ten

“each quarter hold the 10 largest companies in the Russell 1000 by market value, equal weight”

Tested over October 2019 to October 2026. On data sealed Oct 15, 2026. Published 15 October 2026.

Russell 1000 membership in our data begins Sep 30, 2019 and is updated quarterly. On average 107 of its members trade too thinly to be in our price panel and are left out.

The contract

1. Universe. Trade the Russell 1000, members as of each date.
2. Signal. On the first trading day of each quarter at 09:35 ET, measure each company's market value (its latest filed share count times today's price).
3. Rebalance. Rebalance into the top 10 of the universe by market value, equally weighted.

Equity vs SPY, dividends reinvested

STRATEGYIWB, DIVIDENDS REINVESTEDHOLDINGSSPY, DIVIDENDS REINVESTEDlog scale

HOLDINGS10 names at a time, 22 over the run

Tear sheet

TOTAL

+384%

CAGR

+25.1%

VOL

23.3%

SHARPE

0.97

SPY SHARPE

0.76

BUY-AND-HOLD SHARPE

0.74

SORTINO

1.39

MAX DD

−30.7%

LONGEST DD

567 days

BETA

1.11

GROSS

99.8%

GROSS MAX

100%

NET

+99.8%

LONG

100%

SHORT

0.0%

TRADES

220

TURNOVER

50.3%

COST DRAG

0.1%

CAPACITY

$47,377,049 (GE)

FINAL VALUE

$484,348 from $100,000

Per-leg attribution

What each side of the book earned: its own names marked at the prices the backtest traded, the dividends they paid, and the borrow their shorts owed. These add up to the total return. The second figure re-runs the backtest without that side and shows how the result would change.

EARNEDWITHOUT

the long side, the top 10 of the Russell 1000

+384%−384%

About these numbers

Window

Tested from Oct 1, 2019 to Oct 14, 2026. Russell 1000 membership in our data begins Sep 30, 2019 and is updated quarterly. On average 107 of its members trade too thinly to be in our price panel and are left out. 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.