Strategy Portfolio

I am currently working as an industrial designer at a consultancy. I am interested in moving my career in the direction of strategy/design strategy. I have plenty of experience doing home ethnographies, running focus groups, gathering insights for design as and building strategic platforms for design. Beyond the issue of what I can legally show, I am not certain what companies are looking for in a strategy portfolio. What is most important to show here? How far in depth do I go for a sample portfolio? Any thoughts/input would help.

Thank You!