Daily Dashboard - Signals & Smart Betas
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USER
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Enterprise
18
ESBs
Additional Composite Signals
Composite Signals
ESBs
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Note: All signal returns and factor performance are
based on an
Equity Market Neutral (100x100) construction, 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
| 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
Base 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)
Meta Composites
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 percentage of trading days where the strategy (100x100 EMN) generated a positive return. This measures short-term consistency.
- Rolling 12M Hit Ratio (LTM): The percentage of rolling 12-month periods where the strategy generated a positive cumulative return. This captures the structural success and "drift" of the strategy over an actual investment horizon.
- 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).