Quantitative Value, + Web Site: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors

Appendix: Analysis Legend

The analysis legend below provides a definition of the words and symbols we use in the back-test.

Word/Symbol	Description
QV	Our quantitative value strategy.
MF	The Magic Formula strategy.
S&P 500 TR	Standard & Poor's 500 Total Return Index, the free-float, market capitalization–weighted index including the effects of dividend reinvestment.
MW Index	A total-return, market capitalization–weighted index that we construct from the universe of stocks included in our analysis. The index's returns represent a passive investment in the universe of all stocks we analyze.
CAGR	Compound annual growth rate.
Standard Deviation	Sample standard deviation (annualized by square root of 12).
Downside Deviation	Sample standard deviation of all negative observations (annualized by square root of 12).
Sharpe Ratio	Monthly return minus risk free rate divided by standard deviation (annualized by square root of 12).
Sortino Ratio (MAR=5%)	Monthly return minus minimum acceptable return (MAR/12) divided by downside deviation (annualized by square root of 12).
Worst Drawdown	Worst peak-to-trough performance.
Worst Month Return	Worst monthly performance.
Best Month Return	Best monthly performance.
Profitable Months	Proportion of monthly performances that have a positive return.
Rolling 5-Year Wins	Proportion of rolling 5-year periods that a designated strategy beats the identified benchmarks.
Rolling 10-Year Wins	Proportion of rolling 10-year ...