Multi-factor defensive · value, quality, momentum, low volatility · top 50 of the Top 500 (after Man Group and AQR style premia) · long only
Diversifying across four documented style premia gives a steadier return than any one: earnings yield, ROE, 12-1 momentum and low 1-year volatility, equally ranked. Fundamentals are point-in-time: only figures filed on or before each rebalance are used. Falsified if it does not beat the equal-weight benchmark after 10 bps costs.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 5.07% | 7.63% |
| Volatility | 13.26% | 18.17% |
| Sharpe | 0.44 | 0.50 |
| Max drawdown | -34.70% | -36.87% |
| Turnover (per year) | 1.64 |
Deflated Sharpe: 0.00 (n trials: 401) — the probability the Sharpe ratio is real after the number of variants tried.
Fundamentals and survivorship: Fundamentals (earnings_yield, roe) are point-in-time (filed on or before each date) and cover 58% of the eligible names on average. Names without SEC fundamentals, mostly companies that later delisted, are never selected; an equal-weight portfolio of only the covered names returned +2.53% a year versus all eligible names, which is the survivorship bias this backtest may carry.
Spec
{
"costs_bps": 10,
"end": "2025-12-31",
"rebalance": "M",
"side": "long",
"signal": {
"expr": "rank(earnings_yield) + rank(roe) + rank(ret(252) - ret(21)) - rank(vol(252))",
"type": "expr"
},
"start": "2011-01-01",
"top_n": 50,
"universe": "top500"
}Fork this strategy
Re-run it with your own changes. The fork is computed on the server and linked back here.
curl -X POST https://api.finzdata.com/v1/hub/s/multi-factor-defensive-value-quality-momentum-low-volatility-d26442/fork \
-H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
-d '{"changes": {"signal": {"lookback": 126}}}'Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):
Fork the FinzData strategy multi-factor-defensive-value-quality-momentum-low-volatility-d26442 and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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