Quality Composite

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Fundamental

Composite quality ranking from profitability, efficiency, and balance-sheet strength metrics.

Performance Summary

Annual Return

+4.21%

Sharpe

0.581

Max Drawdown

-10.11%

Win Rate

+62.50%

Annual Volatility

+7.24%

Cumulative Return

+28.05%

Rebalance Periods

72

Avg Long / Short Basket

98.3 / 98.3

Methodology

  • Z-score ROE, ROA, gross/operating margins, and current ratio.
  • Penalize leverage via debt-to-equity z-score.
  • Long highest-quality quintile and short lowest-quality quintile.

Minimum symbols required: 35 | Feasibility note: Implemented successfully.

Equity Curve (Long-Short)

Drawdown

Rolling Sharpe (12M)

Monthly Long / Short / L-S Returns

Latest Signal Snapshot

As of: 2026-06-30

Top Longs

VICI: 2.876, VRSN: 2.868, NVDA: 2.530, FICO: 2.200, MU: 2.108, TPL: 1.969, MO: 1.663, PLTR: 1.560, CPRT: 1.358, MSCI: 1.327

Top Shorts

MRNA: -3.770, IT: -1.294, CLX: -1.015, ARE: -0.899, LYV: -0.854, CAH: -0.818, MCK: -0.752, BA: -0.741, F: -0.692, IP: -0.692

Individual Stock Stats (Latest Signal)

Long count

10

Short count

10

Avg long score

2.046

Avg short score

-1.153

Strongest long score: 2.876 | Most negative short score: -3.770
SymbolSideRankScore
VICILong12.876
VRSNLong22.868
NVDALong32.530
FICOLong42.200
MULong52.108
TPLLong61.969
MOLong71.663
PLTRLong81.560
CPRTLong91.358
MSCILong101.327
MRNAShort1-3.770
ITShort2-1.294
CLXShort3-1.015
AREShort4-0.899
LYVShort5-0.854
CAHShort6-0.818
MCKShort7-0.752
BAShort8-0.741
FShort9-0.692
IPShort10-0.692
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