Fundamental signals
Multi-signal, market-neutral
Backtest from 31 Mar 2010 to 30 Sept 2026 · quarterly · hypothetical
- Return a year
- +1.1% S&P 500 +14.0%
- Last 12 months
- −0.9% S&P 500 +15.7%
- Sharpe ratio
- −0.04 S&P 500 0.86
- Biggest drop
- −19.4% S&P 500 −23.9%
About
Ranks companies on the fundamental signals that worked in 2010-2017 and holds $1 of the best for every $1 it bets against the worst, hedged against the market, sectors, size, momentum and beta. It does not share the market's rise, so compare its Sharpe ratio rather than its return with the S&P 500. Holdings are not published: the long and short books hold hundreds of names each.
Key statistics
| Measure | Strategy | S&P 500 |
|---|---|---|
| Return a year (compound) | +1.1% | +14.0% |
| Total return | +21% | +772% |
| Last 12 months | −0.9% | +15.7% |
| Last 3 months | +2.1% | — |
| Last month | +2.1% | — |
| This year so far | −2.4% | — |
| Volatility a year | 5.9% | 15.1% |
| Sharpe ratio | −0.04 | 0.86 |
| Biggest drop | −19.4% | −23.9% |
| Beta to the S&P 500 | −0.10 | 1.00 |
| Alpha a year (t-statistic) | +1.1% (0.67) | — |
| Share of quarters up | 58% | — |
Insights
| Period | Return a year | S&P 500 | Sharpe | S&P 500 | Biggest drop | Beta | Alpha (t) |
|---|---|---|---|---|---|---|---|
| Whole backtest31 Mar 2010 to 30 Sept 2026 | +1.1% | +14.0% | −0.04 | 0.86 | −19.4% | −0.10 | +1.1% (0.67) |
| 2018 onwards31 Mar 2018 to 30 Sept 2026 | +0.0% | +15.1% | −0.33 | 0.75 | −19.4% | −0.12 | −0.9% (−0.34) |
| Last three years31 Dec 2023 to 30 Sept 2026 | −5.2% | +20.2% | −1.27 | 1.25 | −19.4% | −0.03 | −9.0% (−1.60) |