KER-FCFYield - August 2024

KER and FCFYied factor optimzation -- This strategy targets the top 5 weighted stocks in the S&P 500 ETF (SPY), evaluating them using two complementary metrics: the Kaufman Efficiency Ratio (KER), which identifies stocks exhibiting smooth, directional price movement, and Free Cash Flow Yield (FCF Yield), which highlights companies generating strong cash flows relative to their market value. Monthly rebalancing incorporates both technical efficiency and fundamental strength, with position weights optimized based on recent performance trends. This approach combines momentum and value factors while maintaining focus on the market's most liquid, large-cap names.