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Trailing total return of each factor's long-only top-quintile portfolio over the S&P 500, vs. the S&P 500 TR index. Click a factor for the cumulative chart and current screen.
Each factor's own total return.
| Factor | 90-day trend | 1W | 1M | 3M | 6M | YTD | 1Y↓ | 5Y | 10Y | SINCE | Held | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Leverage Balance-sheet health: low debt/equity + strong current ratio. Higher = more defensive. | -0.96% | +2.40% | -2.22% | +12.03% | +17.04% | +25.75% | +93.07% | +345.34% | +1299.34% | 55 | → | |
Momentum 12-month total return, skipping the most recent month (12-1). | -0.54% | +0.22% | -2.40% | +6.89% | +17.16% | +24.80% | +82.20% | +290.09% | +584.76% | 100 | → | |
Value Trailing earnings yield (TTM EPS ÷ price). Higher = cheaper. | -1.91% | +2.06% | +10.63% | +12.45% | +19.73% | +23.81% | +77.55% | +309.40% | +1394.27% | 100 | → | |
Accruals Cash-backed earnings: −(net income − operating cash flow) ÷ assets. Higher = cleaner earnings. | +0.04% | +5.47% | +6.15% | +11.28% | +18.45% | +23.39% | +80.97% | +313.40% | +1319.54% | 93 | → | |
Quality Most recently reported Return on Equity. Higher = better. | -1.46% | +1.36% | +4.03% | +14.32% | +20.83% | +23.29% | +66.53% | +227.23% | +770.97% | 76 | → | |
Profitability Gross profit ÷ total assets (Novy-Marx). Higher = more cash from each dollar of capital. | -0.66% | +2.40% | +4.92% | +15.05% | +17.19% | +19.17% | +60.48% | +252.66% | +760.61% | 56 | → | |
Size Negative log market cap (shares × price). Smaller companies rank higher. | -1.68% | +2.49% | +9.55% | +9.45% | +15.34% | +15.51% | +57.37% | +278.34% | +1170.59% | 90 | → | |
Growth Year-over-year TTM revenue growth. Higher = faster top-line growth. | +0.43% | +4.72% | +2.95% | +12.36% | +12.43% | +13.99% | +65.09% | +239.18% | +680.87% | 99 | → | |
Low Beta (BAB) Negative of trailing 252-day OLS beta vs the S&P 500. Lower beta = higher rank (Frazzini-Pedersen). | -1.49% | +1.14% | +8.35% | -0.79% | +9.17% | +9.42% | +42.19% | +146.63% | +273.51% | 100 | → | |
Low Volatility Negative of trailing 252-day daily-return standard deviation. Lower vol = higher rank. | -1.73% | -3.36% | +4.28% | -3.11% | +6.50% | +4.34% | +32.87% | +153.50% | +502.41% | 100 | → |
Click any row for the cumulative chart, full stats, methodology, and current screen. Click a column header to sort. Green/red is the sign of the return. Switch to "vs S&P 500 TR" to see how much each factor beat or trailed the index by. trend = last 90 points, normalized to 0. Empty cells (—) sort to the bottom. SINCE covers each factor's full history, which starts at a different date per factor (hover for it) — so those figures are not directly comparable row to row.