Value + Momentum + Quality (proxy)
The simulation finished up 8.91% versus contributed principal.
Created at 2026-07-15 08:37:43 / Updated by Colin ZHao
Thesis
No forward-looking thesis was provided.
Goal
Test the Value + Momentum + Quality (proxy) factor on a rolling window
Primary metric: Annualized return and edge vs equal-weight S&P 500, drawdown-aware
Period
- Simulation range
- 2001-07-03 -> 2006-07-06
- Starting value
- 202,500.00
- Principal contributed
- 347,500.00
- Ending cash
- 378,460.03
Strategy Rules
Value + Momentum + Quality (proxy) vmq-r01-2001
- Top-10 equal-weight, monthly rebalance, no look-ahead
- Proxy factor from available data (see summary)
Result
- Ending value
- 378,460.03Portfolio value at the final available date
- Total gain/loss
- +30,960.03+8.91%
- Avg yearly gain
- +2.16%Money-weighted annualized return using the recorded deposit schedule
- S&P 500 (EW) yearly gain
- +15.98%S&P 500 (EW) ending value: 640,391.90
- Max drawdown
- +0.00%0 open positions at the end of the run
Run Facts
- Largest position
- 0.00%
- Cash position
- 378,460.03 (100.00%)
- Unique stocks traded
- 0
Tax Profile
- Unrealized gain exposure
- +0.00
- Long-term tax
- 0.00
- Short-term tax
- 0.00
- Dividend tax
- 0.00
- Total estimated tax
- 7,430.41
Strategy Check
- The strategy followed the trading-universe rule: 0 user-selected stocks were traded, with 0 buys and 0 sells.
- The strategy met the capital-growth goal in absolute terms, finishing with a 8.91% return on contributed principal.
- The strategy followed the no-sell rule for the full run.
- The path was volatile: maximum drawdown reached 0.00%.
- Cash usage drifted higher than intended at the end of the run, finishing at 100.00% of the portfolio.
Note
Factor-rank engine; value-mom-quality; CLI-executed; proxy factors (Blend of earnings yield, 12-1 momentum, and TTM-EPS-growth quality proxy; profitable cap>=floor.).
Positions At Report Date
—
As of 2006-07-06