Fundamental
Book-to-price proxy from yfinance (1 / priceToBook): long cheaper equities and short expensive equities.
Annual Return
-13.85%
Sharpe
-1.361
Max Drawdown
-58.83%
Win Rate
+37.50%
Annual Volatility
+10.18%
Cumulative Return
-59.12%
Rebalance Periods
72
Avg Long / Short Basket
98.3 / 98.3
Minimum symbols required: 35 | Feasibility note: Implemented successfully.
As of: 2026-04-30
Top Longs
BRK-B: 1040.353, ARE: 1.917, MOS: 1.707, KHC: 1.481, MHK: 1.334, TAP: 1.266, CAG: 1.256, GPN: 1.196, EG: 1.084, KMX: 1.050
Top Shorts
DPZ: -0.370, SBAC: -0.219, OTIS: -0.201, YUM: -0.171, TDG: -0.135, LOW: -0.083, HLT: -0.081, VRSN: -0.078, FICO: -0.074, SBUX: -0.072
Long count
10
Short count
10
Avg long score
105.264
Avg short score
-0.148
| Symbol | Side | Rank | Score |
|---|---|---|---|
| BRK-B | Long | 1 | 1040.353 |
| ARE | Long | 2 | 1.917 |
| MOS | Long | 3 | 1.707 |
| KHC | Long | 4 | 1.481 |
| MHK | Long | 5 | 1.334 |
| TAP | Long | 6 | 1.266 |
| CAG | Long | 7 | 1.256 |
| GPN | Long | 8 | 1.196 |
| EG | Long | 9 | 1.084 |
| KMX | Long | 10 | 1.050 |
| DPZ | Short | 1 | -0.370 |
| SBAC | Short | 2 | -0.219 |
| OTIS | Short | 3 | -0.201 |
| YUM | Short | 4 | -0.171 |
| TDG | Short | 5 | -0.135 |
| LOW | Short | 6 | -0.083 |
| HLT | Short | 7 | -0.081 |
| VRSN | Short | 8 | -0.078 |
| FICO | Short | 9 | -0.074 |
| SBUX | Short | 10 | -0.072 |
