Leverage
Balance-sheet health: low debt/equity + strong current ratio. Higher = more defensive.
As of 2026-08-31 · 55 names held · backtest spans 216 months
Trailing returns
Cumulative return vs S&P 500 TR
Performance stats
| Metric | Factor | S&P 500 TR |
|---|---|---|
Annualized return (1 + total) ^ (252/4527) − 1 | +15.82% | +12.75% |
Annualized volatility daily-return stdev × √252 | +24.96% | +19.80% |
Sharpe ratio ann return ÷ ann vol (rf = 0) | 0.63 | 0.64 |
Max drawdown worst peak-to-trough on the cumulative series | -49.23% | -46.20% |
Information ratio ann excess return ÷ tracking error (vs S&P 500 TR) | 0.32 | — |
Monthly hit rate share of months where factor return > S&P 500 TR | 55% (119/216) | — |
How it's computed
What. At each month-end we take each ticker's most recently reported debt_to_equity and current_ratio, standardize each across the universe, and combine them as *z(−debt/equity) + z(current ratio)*. Low-leverage, liquid balance sheets score highest and land in the top quintile.
Why it has worked. Low-leverage, low-distress firms have historically delivered better risk-adjusted returns than their highly levered peers — a cousin of the "quality" and "betting-against-beta" effects. The premium is strongest in downturns, when over-levered firms face refinancing and solvency stress.
Caveats. Coverage is uneven: Synapse reports debt_to_equity and current_ratio for most industrials and tech names but not for banks and
most financials, where the ratios mean something different. The screen therefore excludes Financials almost entirely — read it as a non-financials balance-sheet signal, not a whole-market one.
Current sector mix
| Sector | Names | % of screen | |
|---|---|---|---|
| Information Technology | 13 | 23.6% | |
| Health Care | 11 | 20.0% | |
| Materials | 11 | 20.0% | |
| Industrials | 9 | 16.4% | |
| Consumer Discretionary | 3 | 5.5% | |
| Communication Services | 3 | 5.5% | |
| Consumer Staples | 2 | 3.6% | |
| Financials | 1 | 1.8% | |
| Energy | 1 | 1.8% | |
| Unknown | 1 | 1.8% |
Current top quintile (55 names)
| Ticker | Name | Sector | Signal ↓ | Z-score |
|---|---|---|---|---|
| ON | ON SEMICONDUCTOR CORP | Information Technology | 459.7% | 3.49 |
| TECH | BIO-TECHNE Corp | Health Care | 409.5% | 3.49 |
| EW | Edwards Lifesciences Corp | Health Care | 401.3% | 3.49 |
| TXN | TEXAS INSTRUMENTS INC | Information Technology | 395.4% | 3.49 |
| CVNA | CARVANA CO. | Consumer Discretionary | 345.5% | 3.04 |
| SNA | Snap-on Inc | Industrials | 285.4% | 2.50 |
| CF | CF Industries Holdings, Inc. | Materials | 284.4% | 2.50 |
| NVDA | NVIDIA CORP | Information Technology | 276.5% | 2.42 |
| IEX | IDEX CORP /DE/ | Industrials | 264.7% | 2.32 |
| MRVL | Marvell Technology, Inc. | Information Technology | 252.7% | 2.21 |
| APP | AppLovin Corp | Information Technology | 232.1% | 2.03 |
| STLD | STEEL DYNAMICS INC | Materials | 231.2% | 2.02 |
| BIIB | BIOGEN INC. | Health Care | 224.5% | 1.96 |
| COHR | COHERENT CORP. | Health Care | 223.2% | 1.95 |
| RMD | RESMED INC | Health Care | 220.9% | 1.93 |
| PKG | PACKAGING CORP OF AMERICA | Materials | 218.3% | 1.90 |
| NUE | NUCOR CORP | Materials | 204.1% | 1.78 |
| ZTS | Zoetis Inc. | Health Care | 203.0% | 1.77 |
| AMD | ADVANCED MICRO DEVICES INC | Information Technology | 185.2% | 1.61 |
| GOOGL | Alphabet Inc. | Communication Services | 183.5% | 1.59 |
| WST | WEST PHARMACEUTICAL SERVICES INC | Health Care | 182.9% | 1.59 |
| CIEN | CIENA CORP | Information Technology | 178.9% | 1.55 |
| DD | DuPont de Nemours, Inc. | Materials | 177.4% | 1.54 |
| GWW | W.W. GRAINGER, INC. | Industrials | 173.3% | 1.50 |
| VMC | Vulcan Materials CO | Materials | 161.5% | 1.40 |
| NDSN | NORDSON CORP | Industrials | 161.5% | 1.40 |
| AMAT | APPLIED MATERIALS INC /DE | Information Technology | 155.1% | 1.34 |
| NEM | NEWMONT Corp /DE/ | Materials | 147.8% | 1.27 |
| PODD | INSULET CORP | Health Care | 145.7% | 1.25 |
| MRNA | Moderna, Inc. | Health Care | 144.3% | 1.24 |
| HWM | Howmet Aerospace Inc. | Materials | 140.0% | 1.20 |
| SWKS | SKYWORKS SOLUTIONS, INC. | Information Technology | 140.0% | 1.20 |
| FCX | FREEPORT-MCMORAN INC | Materials | 138.4% | 1.19 |
| META | Meta Platforms, Inc. | Communication Services | 134.4% | 1.15 |
| INTC | INTEL CORP | Information Technology | 128.4% | 1.10 |
| KDP | Keurig Dr Pepper Inc. | Consumer Staples | 122.9% | 1.05 |
| MLM | MARTIN MARIETTA MATERIALS INC | Materials | 122.5% | 1.05 |
| CTSH | COGNIZANT TECHNOLOGY SOLUTIONS CORP | Information Technology | 121.5% | 1.04 |
| AXON | AXON ENTERPRISE, INC. | Industrials | 121.3% | 1.03 |
| CSGP | COSTAR GROUP, INC. | Industrials | 116.5% | 0.99 |
| IR | Ingersoll Rand Inc. | Industrials | 115.9% | 0.99 |
| NXPI | NXP Semiconductors N.V. | Information Technology | 110.0% | 0.93 |
| COIN | Coinbase Global, Inc. | Financials | 105.3% | 0.89 |
| Q | Qnity Electronics, Inc. | Information Technology | 101.8% | 0.86 |
| BKR | Baker Hughes Co | Industrials | 99.4% | 0.84 |
| ALB | ALBEMARLE CORP | Materials | 99.4% | 0.84 |
| SYK | STRYKER CORP | Health Care | 99.2% | 0.84 |
| HAL | HALLIBURTON CO | Energy | 95.1% | 0.80 |
| APTV | Aptiv PLC | Consumer Discretionary | 94.6% | 0.80 |
| GNRC | GENERAC HOLDINGS INC. | Industrials | 90.3% | 0.76 |
| XYZ | Block, Inc. | 86.9% | 0.73 | |
| CTAS | CINTAS CORP | Consumer Discretionary | 84.3% | 0.70 |
| HRL | HORMEL FOODS CORP /DE/ | Consumer Staples | 81.3% | 0.68 |
| GOOG | Alphabet Inc. | Communication Services | 81.1% | 0.68 |
| GILD | GILEAD SCIENCES, INC. | Health Care | 76.4% | 0.63 |