TideAlphaEqual-weight theme basket
The naive theme investor: every holdable member of all 150 themes at the same weight, re-equalized every month.
What it holds
A theme is a named list of two to four stocks. The basket holds every member of every theme that is holdable, which means 126 sessions of price history and a 63-day average dollar volume of $1M or more, and it holds them all at the same weight. About 300 names are in it at a time; the 2026-08-21 run counted 314 holdable members across the 94 live themes. This is the row a theme book must beat: it carries the theme universe with no ranking, no stage reading and no exit rule.
The numbers
CAGR and worst loss on month-end values, so the worst loss is a drawdown and not one month. Sharpe on monthly returns at 0% risk-free. One basis for every row: members holdable after 126 sessions and $1M of daily dollar volume, decisions at the close, fills at the next close, 10 bps a side, idle cash at the 3-month bill.
| Book | CAGR | Sharpe | Worst loss | Window | Basis |
|---|---|---|---|---|---|
| Equal-weight theme basket this book | 17.5% | 0.89 | -51% | 2003-12 to 2026-08 | 150 themes, every holdable member |
| SPY buy and hold | 11.1% | 0.80 | -51% | 2003-12 to 2026-08 | SPY, one position |
- Annual volatility 20.6% and Calmar 0.34 on the same basis. The basket makes 6.4 points a year more than SPY for the same -51% worst loss.
- Calendar years: -38% in 2008 and -23% in 2022, the two worst (monthly curve of results/themestrat_more_a.json).
- Source: results/themestrat_more_a.json, read through crashdash/results/oracle_audit.json (rule_books, generated 2026-08-27), which carries the row of each source file named below.
- Every row is in sample. The rules were chosen with the full history in view, and the theme list is the 2026 list, so themes that died without a surviving member are missing. Live results from 2026-08-31 are the only holdout.
What it means for an investor
- In a bad year it falls harder than the market. It lost 38% in 2008 and 23% in 2022, and the worst loss on month-end values is -51%, the same depth as SPY at higher volatility.
- Turnover is 1.1x a year, about 0.2% of cost. It is the cheapest theme row.
- It does not rank and it does not exit. It holds a busted theme all the way down and a dormant theme for years.
- The theme list is the 2026 list, so themes that died with no surviving member are missing. That lifts this row and every row above it.
Live record
This is a benchmark, not a TideAlpha book. It has no rule set to run and no ledger. It is recomputed at every weekly rule-book run and every Oracle run, so every live book is scored against it from the first week.
Read more
- Theme rotation study. The theme rotation study: the universe, the basket and the first engines.
- Forward test design. The shared basis, the benchmark set and the three rule books.
- Oracle audit. The backtest of the Oracle rule set against SPY and the basket.
- The Oracle: rules, evidence and research. The technical page: the stage model, the rules and the papers.
The research reports need an account. The Oracle page at /oracle is public.