What's working lately
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Value Trailing earnings yield (TTM EPS ÷ price). Higher = cheaper. | +0.95% | +11.22% | +18.13% | +26.85% | +24.23% | +41.30% | +86.86% | +335.01% | — | 85 | → | |
Quality Most recently reported Return on Equity. Higher = better. | -1.34% | +4.81% | +8.00% | +14.96% | +13.79% | +21.91% | +101.20% | +330.60% | — | 74 | → | |
Profitability Gross profit ÷ total assets (Novy-Marx). Higher = more cash from each dollar of capital. | -0.51% | +9.60% | +16.41% | +15.72% | +15.21% | +20.82% | +60.56% | +220.11% | — | 35 | → | |
Size Negative log market cap (shares × price). Smaller companies rank higher. | — | — | -0.28% | +8.12% | +6.99% | +17.39% | +40.72% | +260.58% | — | 83 | → | |
Growth Year-over-year TTM revenue growth. Higher = faster top-line growth. | — | — | +0.56% | +2.73% | +2.67% | +10.75% | +67.10% | +256.36% | — | 83 | → | |
Momentum 12-month total return, skipping the most recent month (12-1). | -2.18% | -11.70% | -15.25% | -6.84% | -7.30% | +3.91% | +36.68% | +222.78% | — | 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 | → | |
Low Volatility Negative of trailing 252-day daily-return standard deviation. Lower vol = higher rank. | -2.65% | -5.35% | -4.43% | +2.00% | +2.32% | +0.90% | +34.28% | +153.34% | — | 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.