Melt-Up Watchlist
Top 20 cyclicals — most aligned with risk-on regimes
Top 20 defensives — most aligned with risk-off / late-cycle narrowing
How to read this page
The screen is a rolling cross-section of the S&P 500 — at each month-end every active member is ranked on the three signals, the top and bottom 20 are surfaced. The favored-side label at the top of the page comes from the joint (BCI phase × CCMI tercile) state mapped to whichever quintile end historically led in that regime cell, sourced from cross-sectional probes documented in our methodology archive.
The watchlist is a research surface, not an executable portfolio. The implementation question — equal-weight or cap-weight? top-20 or top-50? long-only or long-short? — has been tested in our internal sleeves and the answers vary; an equal-weight long-only quintile-rotation construction underperformed cap-weighted SPY at portfolio Sharpe even though the cross-sectional spreads were real. The watchlist above gives the names; the position sizing is left to the reader's own framework.
Methodology
Universe. Point-in-time S&P 500 membership at the latest month-end, reconstructed from Wikipedia's S&P 500 changelog (additions/removals back to 1976). At each historical date, the universe is the actual constituents on that date — not today's set walked back. This eliminates survivorship bias when the screen is run historically.
Score. cyclicality_z(t) = mean of cross-sectional z(β_252) + z(r_12m) + z(σ_60d) at month-end t, where:
- β_252 is the 252-day beta to SPY computed from daily returns through t
- r_12m is the 12-month price return through t
- σ_60d is the 60-day realized volatility (annualized, daily returns)
Cross-sectional z means each signal is z-scored across the active universe at t, not against any historical baseline. The three z's are summed and divided by 3 — equal weights, no optimization.
Regime input. The (BCI phase × CCMI tercile) joint state at the latest as_of, sourced from the BCI factor (4 phases) and the CCMI composite z (low / mid / high tercile of the historical distribution). The favored-side mapping is locked: EARLY CYCLE → cyclicals, EXPANSION → broad bid (no preference), LATE × low/mid → cyclicals, LATE × high → defensives (narrowing breadth), RECESSION → defensives (flight to quality).
Caveats and limits. Single-name regime-conditional sleeves built on this signal were tested in our internal pipeline and killed at walk-forward — equal-weight 100-name constructions couldn't beat cap-weighted SPY at portfolio Sharpe. The cross-sectional ranking remains informative and is published here as a research surface; the leap from cross-sectional ranking to executable portfolio is not direct, and we do not claim it.
Cross-references
- Inflation Nowcast — the inflation regime classifier
- Credit-Cycle Melt-Up Monitor — CCMI composite, lens flags, forward 12m equity-return nowcast
- Calibration Ledger — every nowcast on the site, audited
- BCI factor — the cycle-phase classifier