[2026-09-11 17:45][US] Market Close Report - Quantitative Portfolio Allocation
This report presents the daily quantitative asset allocation and rebalancing weights for US equities across leading NYSE, NASDAQ, and S&P 500 stocks.
Date: September 11, 2026
Market: United States
Author: Lead Quant Portfolio Manager, MoonShot Navigator Hedge Fund
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1. 📊 Market Regime & Momentum Diagnosis
The US market currently exhibits a resilient, moderately bullish regime characterized by steady expansion in medium-term momentum and contained macroeconomic volatility. Cross-strategy return trends over the trailing 1D, 1W, and 1M horizons reflect a synchronized upward drift, allowing our models to maintain a balanced yet structurally offensive posture with a selective bias toward high-beta growth factors.
2. 💡 Portfolio Key Highlights
Our quantitative engine has elevated allocations in secular technology leaders and high-alpha cyclical sectors, driven by robust multi-factor momentum scores and accelerating institutional capital inflows. Asset allocation dynamics heavily favor top-decile Sharpe ratio constituents, optimizing our exposure to structural earnings revisions while pruning assets showing fading volume profiles.
3. 🛡️ Risk Management & Execution Notes
Current portfolio volatility remains well within pre-set risk thresholds, and localized drawdowns are effectively mitigated by dynamic, trailing stop-loss parameters. Disciplined end-of-day rebalancing will continue to enforce strict position sizing limits, ensuring structural preservation of capital against unexpected intraday macro shocks.
1. [US 1] US Dynamic Momentum Portfolio (DAA)
Latest asset allocation weights calculated by the dynamic lookback momentum model for leading US stocks (Top 4 equal-weighted 25%).
| Ticker | Company Name | Sector / Industry | Weight (%) | 1D | 1W | 1M |
|---|---|---|---|---|---|---|
| DELL | Dell Technologies Inc | Computer Hardware | 25.00% | +0.26% | +25.94% | +21.38% |
| INTC | Intel Corp | Semiconductors | 25.00% | +1.69% | +19.41% | +8.73% |
| SKHY | SK hynix Inc. ADR | Semiconductors | 25.00% | +7.05% | +23.54% | +40.23% |
| SNDK | SanDisk Corporation | Computer Hardware | 25.00% | +1.51% | +14.79% | +38.80% |
2. [US 4] US Portfolio Optimization (MVO Max Sharpe)
Dynamic portfolio optimization composed of highly capital-efficient assets selected from leading US equities based on 150-day quantitative risk-adjusted performance.
| Ticker | Company Name | Sector / Industry | Weight (%) | 1D | 1W | 1M |
|---|---|---|---|---|---|---|
| MU | Micron Technology Inc. | Semiconductors | 20.00% | +2.75% | +10.11% | +19.37% |
| ARM | ARM Holdings PLC ADR | Semiconductors | 20.00% | +1.03% | +12.52% | -1.35% |
| DELL | Dell Technologies Inc | Computer Hardware | 20.00% | +0.26% | +25.94% | +16.90% |
| MRVL | Marvell Technology Inc. | Semiconductors | 20.00% | +4.26% | +11.70% | +12.68% |
| SNDK | SanDisk Corporation | Computer Hardware | 20.00% | +1.51% | +14.79% | +42.51% |
3. [US 5] US Hybrid Alpha Portfolio (DAA 70% + MVO 30%)
Advanced hybrid quantitative asset allocation strategy combining momentum factor and risk optimization for steady compound growth and drawdown defense.
| Ticker | Company Name | Sector / Industry | Weight (%) | 1D | 1W | 1M |
|---|---|---|---|---|---|---|
| DELL | Dell Technologies Inc | Computer Hardware | 23.50% | +0.26% | +25.94% | +16.90% |
| SNDK | SanDisk Corporation | Computer Hardware | 23.50% | +1.51% | +14.79% | +42.51% |
| INTC | Intel Corp | Semiconductors | 17.50% | +1.69% | +19.41% | +8.94% |
| SKHY | SK hynix Inc. ADR | Semiconductors | 17.50% | +7.05% | +23.54% | +46.82% |
| MU | Micron Technology Inc. | Semiconductors | 6.00% | +2.75% | +10.11% | +19.37% |
| ARM | ARM Holdings PLC ADR | Semiconductors | 6.00% | +1.03% | +12.52% | -1.35% |
| MRVL | Marvell Technology Inc. | Semiconductors | 6.00% | +4.26% | +11.70% | +12.68% |
The portfolio allocations, quantitative analytics, and stock selection data contained in this report are automatically generated based on historical data and algorithmic models for educational and informational purposes only. This content does not constitute financial advice, investment recommendations, or an offer to buy or sell any security. Past performance is not indicative of future results. Investors are solely responsible for their own investment decisions and outcomes.
* This post is automatically generated and published by our quantitative data analysis engine after US market close.
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