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.
Data Sources
- Latest portfolio positions, weights, and account metadata
- Daily 19-factor exposures and portfolio concentration metrics
- Holder IQ, insider-signal, and filing red-flag scores
- Brokerage sync freshness and unsupported-position exclusion reasons
Validation Status
Health-score weights and risk targets are pulled from the launch claims registry so visible methodology stays aligned with tests and code constants.
30 percent
Portfolio health score weight defined in src/services/portfolio
Test evidence: tests/services/portfolio.test.ts
30 percent
Portfolio health score weight defined in src/services/portfolio
Test evidence: tests/services/portfolio.test.ts
95 percent
VaR confidence level used in risk calculations
Test evidence: tests/services/factors.test.ts
Source: docs/claims.json, generated 2026-06-03.
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
Citations & Research Basis
- Modern portfolio theory motivates diversification and concentration penalties.
- Multi-factor attribution research informs factor-balance scoring and VaR targets.
- Institutional ownership, insider-trading, and filing-risk evidence inform the non-price components.
See also: Attention Queue | Factor Model | Holder IQ