The Hurst Exponent is an indicator of whether a timeseries is trending, random, or mean reverting. There are many ways to estimate the Hurst Exponent, and many opinions to its utility. Nonetheless I was curious to see if generating a portfolio to maximize the Hurst exponent would yield any interesting results. Since this is purely an mini investigation into the idea I turned commission and slippage off to see if the mathematics behind it are of any use. I'm not making any conclusions about it, just thought it was interesting.