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Torchcast research · Stock selection

Mechanical books, probabilistic forecasts

The 2025-08-05 study, held 2025-08-05 → 2026-07-13 · 235 trading days · equal weight, buy and hold, no rebalance, no costs
Growth book
+55.2%
67 names · Sharpe 2.20 · beta 1.25
Value book
+31.7%
61 names · Sharpe 1.68 · beta 0.81
S&P 500
+19.9%
Cap-weighted · Sharpe 1.25
S&P 500 equal weight
+18.4%
Equal-weight bar · Sharpe 1.23
-12%0%+12%+24%+36%+48%+60%+72%AUG 5SEPOCTNOVDECJANFEBMARAPRMAYJUNJUL 13GROWTH+55.2%VALUE+31.7%S&P 500+19.9%
Growth book · 67 namesValue book · 61 namesS&P 500
GrowthValueS&P 500
Total return+55.2%+31.7%+19.9%
Ann. volatility20.5%15.8%12.7%
Sharpe (rf 4.3%)2.201.681.25
Max drawdown−8.1%−7.4%−8.9%
Beta vs S&P 5001.250.811.00
Alpha (ann.)+24.9%+13.5%—
Alpha t-stat1.91.1—
Positive months83%83%75%

In-sample study, not a backtest · one vintage, picked once and held · LLM-generated forecasts

How a book is built

Step 01Screen the universe

The S&P 500 ex-financials, ex-real-estate, screened on price, size and drawdown into a candidate pool.

Live books

The books as they stand now, struck from the latest forecast run. Equal weight at each fill, long only, no costs — the same construction the study above tests, running forward instead of backward.

Value book
+10.3%
62 names · 2026-07-27 open → 2026-08-31 close
vs S&P 500
+7.4 pp
Cap-weighted, +3.0% over the window · +8.2 pp vs the equal-weight S&P 500 (+2.1%)
Growth book
+8.8%
65 names · 2026-07-27 open → 2026-08-31 close
vs S&P 500
+5.8 pp
Cap-weighted, +3.0% over the window · +6.7 pp vs the equal-weight S&P 500 (+2.1%)
-3%0%+3%+6%+9%+12%JUL 27AUG 31VALUE+10.3%S&P 500+3.0%S&P 500 EW+2.1%
TickerSectorFwd E/PEntryReturn
CHTRCommunication Services86.2%$125.49+21.5%
SMCIInformation Technology41.4%$30.60+21.8%
BLDRIndustrials26.0%$74.30−10.6%
LULUConsumer Discretionary24.5%$117.59+2.3%
MOSMaterials22.2%$22.42+7.6%
TTDCommunication Services21.3%$17.79−22.9%
CMCSACommunication Services21.2%$22.43+18.7%
LENConsumer Discretionary20.8%$86.01−2.2%
CIHealth Care19.6%$289.65−4.7%
UBERIndustrials18.1%$66.38+14.0%
+ 52 more holdings76% of the book is above its fill
-3%-2%-1%0%+1%+2%+3%+4%+5%+6%+7%+8%+9%+10%JUL 27AUG 31GROWTH+8.8%S&P 500+3.0%S&P 500 EW+2.1%
TickerSectorAccelEntryReturn
MRNAHealth Care+176.1 pp$54.75+156.3%
TSLAConsumer Discretionary+129.4 pp$313.24+17.5%
ALBMaterials+24.6 pp$114.92+17.4%
LDOSIndustrials+17.1 pp$112.35+24.8%
REGNHealth Care+12.1 pp$661.77+20.9%
CRMInformation Technology+9.6 pp$168.00+53.3%
GISConsumer Staples+9.2 pp$36.24+13.7%
TRGPEnergy+8.3 pp$276.43+6.7%
APPInformation Technology+7.9 pp$404.75−22.9%
BRIndustrials+7.5 pp$151.32+20.5%
+ 55 more holdings63% of the book is above its fill

Research and forecasts, published for information only. Nothing here is investment advice.