Fundamental
Income-style cross-sectional strategy: long higher-dividend equities and short lower/no-dividend equities.
Annual Return
-18.51%
Sharpe
-1.780
Max Drawdown
-70.60%
Win Rate
+29.17%
Annual Volatility
+10.40%
Cumulative Return
-70.72%
Rebalance Periods
72
Avg Long / Short Basket
81.5 / 80.9
Minimum symbols required: 30 | Feasibility note: Implemented successfully.
As of: 2026-04-30
Top Longs
CAG: 10.000, ARE: 9.320, CPB: 7.460, DOC: 7.390, KHC: 7.100, GIS: 7.060, PGR: 7.030, AMCR: 6.910, BBY: 6.710, UPS: 6.690
Top Shorts
NVDA: 0.020, PWR: 0.060, TXT: 0.090, MU: 0.090, JBL: 0.090, IR: 0.110, WDC: 0.130, GEV: 0.140, TER: 0.150, HLT: 0.190
Long count
10
Short count
10
Avg long score
7.567
Avg short score
0.107
| Symbol | Side | Rank | Score |
|---|---|---|---|
| CAG | Long | 1 | 10.000 |
| ARE | Long | 2 | 9.320 |
| CPB | Long | 3 | 7.460 |
| DOC | Long | 4 | 7.390 |
| KHC | Long | 5 | 7.100 |
| GIS | Long | 6 | 7.060 |
| PGR | Long | 7 | 7.030 |
| AMCR | Long | 8 | 6.910 |
| BBY | Long | 9 | 6.710 |
| UPS | Long | 10 | 6.690 |
| NVDA | Short | 1 | 0.020 |
| PWR | Short | 2 | 0.060 |
| TXT | Short | 3 | 0.090 |
| MU | Short | 4 | 0.090 |
| JBL | Short | 5 | 0.090 |
| IR | Short | 6 | 0.110 |
| WDC | Short | 7 | 0.130 |
| GEV | Short | 8 | 0.140 |
| TER | Short | 9 | 0.150 |
| HLT | Short | 10 | 0.190 |
