Price-based
Long lower-beta equities and short higher-beta equities from a rolling one-year covariance estimate against SPY.
Annual Return
-17.81%
Sharpe
-0.781
Max Drawdown
-67.56%
Win Rate
+40.91%
Annual Volatility
+22.81%
Cumulative Return
-66.01%
Rebalance Periods
66
Avg Long / Short Basket
98.3 / 98.3
Minimum symbols required: 40 | Feasibility note: Implemented successfully.
As of: 2026-04-30
Top Longs
KR: 0.628, CF: 0.620, AWK: 0.491, ED: 0.417, CME: 0.313, TMUS: 0.289, T: 0.288, CBOE: 0.286, MKTX: 0.283, MO: 0.271
Top Shorts
COIN: -3.186, SMCI: -2.748, TER: -2.594, LRCX: -2.546, MU: -2.468, AMD: -2.304, CCL: -2.294, MPWR: -2.286, UAL: -2.279, WDC: -2.279
Long count
10
Short count
10
Avg long score
0.389
Avg short score
-2.498
| Symbol | Side | Rank | Score |
|---|---|---|---|
| KR | Long | 1 | 0.628 |
| CF | Long | 2 | 0.620 |
| AWK | Long | 3 | 0.491 |
| ED | Long | 4 | 0.417 |
| CME | Long | 5 | 0.313 |
| TMUS | Long | 6 | 0.289 |
| T | Long | 7 | 0.288 |
| CBOE | Long | 8 | 0.286 |
| MKTX | Long | 9 | 0.283 |
| MO | Long | 10 | 0.271 |
| COIN | Short | 1 | -3.186 |
| SMCI | Short | 2 | -2.748 |
| TER | Short | 3 | -2.594 |
| LRCX | Short | 4 | -2.546 |
| MU | Short | 5 | -2.468 |
| AMD | Short | 6 | -2.304 |
| CCL | Short | 7 | -2.294 |
| MPWR | Short | 8 | -2.286 |
| UAL | Short | 9 | -2.279 |
| WDC | Short | 10 | -2.279 |
