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Why your benchmark can't jump
A benchmark that quietly rewrites itself mid-window is worse than no benchmark at all, because it produces a number you will believe.
The failure mode
Most holdings-based benchmarks sum whatever happened to be priced each day, then take the baseline from the first non-zero value. That sounds harmless until a symbol has no price back at the window start. It contributes nothing to the denominator and its full value to the numerator — and the "index" prints a return the book never earned. Nobody lied; the arithmetic simply flattered itself.
What myMTree does instead
The benchmark is computed over a constant basket: only holdings priced on every single day of the window are included. Excluded holdings are named with a reason, not silently dropped — you can see exactly which positions the comparison is not covering and why. And if no holding has continuous history across the window, it returns no number at all rather than inventing a baseline. An honest n/a beats a confident fiction.
This is the same principle as the factor boxes: a missing factor renormalises the blend rather than being filled in with a neutral 50. Inventing a score is worse than admitting a gap.
myMTree is a research and education platform. Nothing on this site is investment advice, and no past or projected performance is shown or implied. Options and futures involve substantial risk of loss and are not suitable for every investor. New accounts are simulated.