Evaluating a Price-to-Book-Adjusted, Volatility-Normalized Price Factor

Summary

The document reports a factor built from the standardized ratio of closing price to its 20-period average, divided by price-to-book, then normalized by its 60-period standard deviation. It gives an information coefficient of -0.02 and reports cumulative return of -0.09, annualized return of -0.018, Sharpe ratio of 0.073, annualized volatility of 0.278, and maximum drawdown of -0.578.

These figures offer a compact example of evaluating a composite equity factor that combines relative price, valuation, and volatility scaling. The reported information coefficient is slightly negative, while the listed return and risk metrics do not establish a compelling result. The document gives no dataset, sample period, benchmark, portfolio construction details, transaction costs, or validation procedure, so the figures cannot establish robustness or be compared reliably with other strategies.

Key ideas

• The factor combines a standardized closing-price-to-average-price ratio with price-to-book valuation.
• The combined signal is normalized by its 60-period standard deviation.
• The reported information coefficient is -0.02 and cumulative return is -0.09.
• The document omits the data, test period, costs, and construction details needed to assess robustness.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.