Daily Dashboard - Signals & Smart Betas
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USER
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Enterprise
18
ESBs (Beta-Neutral)
Additional Composite Signals (Beta-Neutral)
Composite Signals
(Beta-Neutral)
ESBs (Beta-Neutral)
Note: All signal returns and factor performance are
Beta-Neutral not Long Only. This reflects the pure alpha generated by the factor spreads.
Performance Metrics (Long/Short Signal
Return)
| Period | Volatility | Sharpe | Sortino | Hit Ratio (%) | Max DD | Return (Ann) |
|---|
Composites (Risk
Profile)
Rolling Window:
Rolling Volatility
Rolling Hit Ratio (daily
observations)
Rolling Hit Ratio (LTM)
Drawdown Profile
Definitions of Factors, Signals, and Metrics
used in this dashboard.
QMIT ESB Factors (Beta-Neutral)
| Acronym | Name | Description | Benchmark |
|---|---|---|---|
| DV | Deep Value | Captures excess returns to value stocks based on intrinsic value metrics | Book-to-Price |
| RV | Relative Value | Captures excess returns to value stocks based on relative valuation metrics | Earnings-to-Price |
| DIV | Dividends | Captures excess returns to stocks that pay higher-than-average dividends | Quarterly Dividend Yield |
| REV | Reversals | Captures excess returns to stocks displaying mean reversion / lackluster past performance | Trailing 1-month return |
| MOM | Price Momentum | Captures excess returns to stocks experiencing trend continuation | Trailing 12-month return |
| ENMOM | Enhanced Momentum | Stocks experiencing trend continuation, adjusted for short covering rallies | Trailing 12-month return |
| ARS | Analyst Revisions | Excess returns from earnings momentum due to analyst revisions | FY0 SUE Score |
| ART | Analyst Ratings | Excess returns due to revisions in analyst recommendations and target prices | Distance to Target Price |
| GROH | Growth | Captures excess returns to stocks that have higher-than-average historical growth | 3-Year Sales Growth |
| EQ | Earnings Quality | Captures excess returns to stocks characterized by low accruals | Total Accruals |
| LEV | Quality – Leverage | Captures excess returns to stocks with low leverage and credit metrics | Debt-to-Equity |
| PROF | Quality – Profitability | Captures excess returns to stocks with high profitability metrics | ROE |
| CSU | Capital Usage | Captures excess returns from better capital structure decisions | Cash-to-Market Cap |
| STAB | Quality – Stability | Captures excess returns to stocks with more stable financial ratios | 5-year EPS Dispersion |
| EFF | Quality – Efficiency | Captures excess returns to stocks with better operating efficiency | AR Change to NOA |
| SIZE | Size | Captures excess returns to smaller firms | Market Cap |
| SIRF | Short Interest | Captures excess returns to stocks with lower Short Interest | Short Interest Trend |
| RISK | Safety/Risk | Captures excess returns to stocks with lower volatility/beta/idiosyncratic risk | 3-year Beta |
QMIT Composite Signals (Beta-Neutral)
QMIT Sub-Composites
1. Value Composite (VAL)
- Deep Value (DV)
- Relative Value (RV)
2. Growth + Momentum Composite (MOM)
- Analyst Revisions (ARS)
- Analyst Ratings (ART)
- Enhanced Momentum (EnMoM)
- Growth (GroH)
3. Quality Composite (QUAL)
- Leverage (LEV)
- Profitability (PROF)
- Capital Usage (CSU)
- Stability (STAB)
- Efficiency (EFF)
- Earnings Quality (EQ)
QMIT Composite Signals (aka MFMs)
4. Fabulous 14
[Growth + Momentum Composite] + [Quality Composite] + REV + RISK + SIZE + DV
5. Enterprise 18
All 18 ESB Factors
6. Value Momentum
[Value Composite] + [Growth + Momentum Composite]
7. Quality Value
[Quality Composite] + [Value Composite]
8. Quality Momentum
[Quality Composite] + [Growth + Momentum Composite]
9. Famous Five
[Quality Composite] + [Value Composite] + [Growth + Momentum Composite] + RISK + SIZE
10. Sizzling 7
[Quality Composite] + [Value Composite] + [Growth + Momentum Composite] + RISK + SIZE + REV + SIRF
Risk & Statistics
- Annualized Volatility: The standard deviation of returns multiplied by sqrt(12), representing the risk or fluctuation of the asset.
- Sharpe Ratio: A measure of risk-adjusted return. (Return / Volatility). Higher is better.
- Daily Hit Ratio (D): The average percentage of trading days in the rolling window where the strategy (Beta-Neutral) generated a positive return.
- Rolling 12M Hit Ratio (LTM): The average percentage of 12-month periods in the rolling window where the strategy (Beta-Neutral) generated a positive cumulative return.
- Sortino Ratio: Similar to Sharpe, but only penalizes downside volatility (negative returns). A better measure for asymmetric risk.
- Max Drawdown: The maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained.
- Factor Dispersion: The standard deviation of the rank scores of all ESB factors for a given stock on a given day. High dispersion means the factors disagree (some bullish, some bearish).