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Trailing total return of each factor's long-only top-quintile portfolio over the S&P 500, vs. SPY. Click a factor for the cumulative chart and current screen.
| Factor | 90-day trend | 1W | 1M | 3M | 6M | YTD | 1Y↓ | 5Y | 10Y | 20Y | Held | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Quality Most recently reported Return on Equity. Higher = better. | -1.36% | +1.05% | +8.31% | +12.25% | +12.39% | +18.40% | +74.51% | +294.76% | — | 87 | → | |
Value Trailing earnings yield (TTM EPS ÷ price). Higher = cheaper. | -0.29% | +0.03% | +4.35% | +1.68% | +1.13% | +11.81% | +50.62% | +235.57% | — | 94 | → | |
Low Volatility Negative of trailing 252-day daily-return standard deviation. Lower vol = higher rank. | +6.61% | +3.97% | +4.13% | +10.50% | +9.08% | +8.64% | +42.24% | +167.53% | — | 1 | → | |
Growth Year-over-year TTM revenue growth. Higher = faster top-line growth. | -4.08% | — | -3.89% | -4.87% | -3.97% | +6.53% | +58.08% | +214.83% | — | 93 | → | |
Profitability Gross profit ÷ total assets (Novy-Marx). Higher = more cash from each dollar of capital. | -1.14% | — | -5.09% | -5.21% | -4.11% | +4.96% | +42.49% | +269.92% | — | 35 | → | |
Momentum 12-month total return, skipping the most recent month (12-1). | -2.48% | -11.35% | -16.41% | -11.78% | -9.60% | +2.00% | +35.14% | +213.85% | — | 100 | → | |
Low Beta (BAB) Negative of trailing 252-day OLS beta vs SPY. Lower beta = higher rank (Frazzini-Pedersen). | -3.39% | -6.14% | -8.61% | -1.81% | +0.20% | +1.02% | +35.43% | +134.50% | — | 100 | → | |
Size Negative log market cap (shares × price). Smaller companies rank higher. | +2.19% | -3.20% | -16.79% | -9.16% | -16.57% | -0.32% | +22.36% | +17.31% | — | 1 | → |
Click any row for the cumulative chart, full stats, methodology, and current screen. Click a column header to sort. Color shows return vs SPY in the same window; trend = last 90 points, normalized to 0. Empty cells (—) sort to the bottom.