Quality Composite

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Fundamental

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

Performance Summary

Annual Return

+5.46%

Sharpe

0.732

Max Drawdown

-12.11%

Win Rate

+61.11%

Annual Volatility

+7.46%

Cumulative Return

+37.60%

Rebalance Periods

72

Avg Long / Short Basket

98.2 / 98.2

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: 2026-04-30

Top Longs

VRSN: 2.912, VICI: 2.907, NVDA: 2.566, FICO: 2.233, TPL: 1.994, MO: 1.688, PLTR: 1.579, CPRT: 1.375, MU: 1.358, MSCI: 1.345

Top Shorts

MRNA: -3.809, IT: -1.292, CLX: -1.012, ARE: -0.906, LYV: -0.861, CAH: -0.825, MCK: -0.759, BA: -0.747, IP: -0.698, F: -0.698

Individual Stock Stats (Latest Signal)

Long count

10

Short count

10

Avg long score

1.996

Avg short score

-1.161

Strongest long score: 2.912 | Most negative short score: -3.809
SymbolSideRankScore
VRSNLong12.912
VICILong22.907
NVDALong32.566
FICOLong42.233
TPLLong51.994
MOLong61.688
PLTRLong71.579
CPRTLong81.375
MULong91.358
MSCILong101.345
MRNAShort1-3.809
ITShort2-1.292
CLXShort3-1.012
AREShort4-0.906
LYVShort5-0.861
CAHShort6-0.825
MCKShort7-0.759
BAShort8-0.747
IPShort9-0.698
FShort10-0.698

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