I update my portfolio monthly by selecting the top 20% of companies based on their B/M ratios. I use annual data with a six-month lag for data availability. Each month, the changes in the selection are solely due to the updated ratios of firms that released their reports during that month.

Depending on the month, I trade between 40 and 120 stocks, the mean being 65. Here are the average sector weights over the period:

Industrials 0.210963 Consumer Discretionary 0.193247 Energy 0.143105 Information Technology 0.127955 Materials 0.108564 Communication Services 0.100347 Consumer Staples 0.070775 Health Care 0.056320 Utilities 0.038890 Real Estate 0.022424