The rule, set in advance and unchanged: on the last trading day of the month, S&P 500 members are ranked by their gain between 12 months ago and 1 month ago. The top 10 form the tracking portfolio, equally weighted. A stock stays as long as it is in the top 10; otherwise it is replaced at the open of the first trading day of the month. No stop, no price target. Estimated costs: 0.6% per order (commission, Belgian stock exchange tax, spread).
What our historical study shows (2011-2025, costs included): this ranking beat about 95% of randomly built portfolios with the same constraints, but did worse than the S&P 500 over the same period (100 € grew to 448 € vs 706 €), mainly because of turnover costs and a few years of sharp declines (2011, 2018, 2021). 2026 was an exceptional year for this method, but since our study was carried out in 2026, we treat it as exploratory.
That is why this tracking exists: only live tracking, over months nobody knew when the rule was set, will tell whether the method holds up. We will publish the results whatever they are.