Dividend Yield

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Fundamental

Income-style cross-sectional strategy: long higher-dividend equities and short lower/no-dividend equities.

Performance Summary

Annual Return

-19.25%

Sharpe

-1.824

Max Drawdown

-71.44%

Win Rate

+27.78%

Annual Volatility

+10.55%

Cumulative Return

-72.27%

Rebalance Periods

72

Avg Long / Short Basket

79.5 / 79.7

Methodology

  • Use yfinance trailing dividend yield as the ranking metric.
  • Rebalance monthly with equal-weight long/short baskets.
  • Long top quintile and short bottom quintile of available yield data.

Minimum symbols required: 30 | Feasibility note: Implemented successfully.

Equity Curve (Long-Short)

Drawdown

Rolling Sharpe (12M)

Monthly Long / Short / L-S Returns

Latest Signal Snapshot

As of: 2026-05-31

Top Longs

CAG: 10.760, GIS: 7.360, CPB: 7.200, KHC: 7.090, AMCR: 6.820, PGR: 6.810, PFE: 6.610, VICI: 6.460, LYB: 6.390, VZ: 6.240

Top Shorts

BK: 0.015, PWR: 0.060, MU: 0.070, JBL: 0.090, TXT: 0.090, IR: 0.110, WDC: 0.120, TER: 0.150, HLT: 0.170, HWM: 0.190

Individual Stock Stats (Latest Signal)

Long count

10

Short count

10

Avg long score

7.174

Avg short score

0.107

Strongest long score: 10.760 | Most negative short score: 0.015
SymbolSideRankScore
CAGLong110.760
GISLong27.360
CPBLong37.200
KHCLong47.090
AMCRLong56.820
PGRLong66.810
PFELong76.610
VICILong86.460
LYBLong96.390
VZLong106.240
BKShort10.015
PWRShort20.060
MUShort30.070
JBLShort40.090
TXTShort50.090
IRShort60.110
WDCShort70.120
TERShort80.150
HLTShort90.170
HWMShort100.190
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