Methodology
Portfolio Health Score
A single 0-100 score summarizing portfolio quality across factor diversification, smart money alignment, insider signals, concentration, and red flags. Updated daily or when significant data changes.
Scoring Model
The health score is a weighted blend of five components, each normalized to 0-100:
health_score = Σ w_i * component_score_i where: w_i = component weight (see table) component_score_i ∈ [0, 100] Final score clamped to [0, 100] and mapped to letter grade.
Score Components
Grade Thresholds
Numeric scores are mapped to letter grades for quick interpretation:
Component Details
Factor Balance (30%)
Measures exposure to the 19-factor model. Extreme tilts (>1.5 z-score) reduce score. Balanced exposure across value, momentum, quality, and size factors is rewarded.
Smart Money Alignment (25%)
Compares holdings to top-decile institutional managers (by Holder IQ). Higher overlap with successful institutions improves score.
Insider Sentiment (20%)
Aggregates insider trading signals across holdings. Net buying improves score; net selling (especially by C-suite) reduces it.
Concentration Risk (15%)
Penalizes over-concentration in single positions or sectors. Diversified portfolios score higher.
Red Flag Exposure (10%)
Presence of critical or high-severity filing red flags in held positions reduces score. See Red Flags methodology.
Limitations
- Score reflects current snapshot; does not predict future performance
- Component weights are based on historical analysis, not optimized
- Some data (e.g., 13F filings) has 45-day lag from quarter end
- US equities only; international holdings excluded from scoring
- ETF positions are scored at ETF level, not look-through holdings
See also: Attention Queue | Factor Model | Holder IQ