FactorDeck
Data as of 2026-08-31
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Quality

Most recently reported Return on Equity. Higher = better.

As of 2026-08-31 · 76 names held · backtest spans 238 months

Trailing returns

1W
-1.46%
S&P 500 TR +0.45%
1M
+1.36%
S&P 500 TR +2.72%
3M
+4.03%
S&P 500 TR +1.41%
6M
+14.32%
S&P 500 TR +12.32%
YTD
+20.83%
S&P 500 TR +13.14%
1Y
+23.29%
S&P 500 TR +20.38%
5Y
+66.53%
S&P 500 TR +82.47%
10Y
+227.23%
S&P 500 TR +316.17%
SINCE
+770.97%
S&P 500 TR +733.44%
from 2006-11-01
2006-11-01 to 2026-08-31 · 4987 sessions

Cumulative return vs S&P 500 TR

Performance stats

MetricFactorS&P 500 TR
Annualized return
(1 + total) ^ (252/4987) − 1
+11.56%+11.31%
Annualized volatility
daily-return stdev × √252
+20.72%+19.61%
Sharpe ratio
ann return ÷ ann vol (rf = 0)
0.560.58
Max drawdown
worst peak-to-trough on the cumulative series
-51.07%-55.25%
Information ratio
ann excess return ÷ tracking error (vs S&P 500 TR)
0.07—
Monthly hit rate
share of months where factor return > S&P 500 TR
55% (131/238)—

How it's computed

What. At each month-end, take each ticker's most recent reported return_on_equity whose period_end + 60 days is on or before the rebal date — i.e. the latest RoE that was *publicly known*. Rank cross-sectionally, hold the top quintile equal-weighted.

Why it has worked. Persistently profitable firms with strong balance sheets outperform weaker peers — the quality premium examined in Novy-Marx (2013) and AQR's *Quality Minus Junk*. The intuition: profitability is sticky, but markets focus on earnings momentum or simple valuation and under-price the persistence.

Caveats. This is single-metric quality — multi-factor academic constructions blend RoE with gross margin, accruals, leverage, and earnings stability. Single-metric RoE can flag highly leveraged companies (small equity base = high RoE). Worth combining with a leverage screen in production use.

Current sector mix

SectorNames% of screen
Information Technology1722.4%
Industrials1418.4%
Consumer Discretionary1317.1%
Health Care79.2%
Financials67.9%
Materials56.6%
Consumer Staples56.6%
Communication Services45.3%
Energy22.6%
Real Estate22.6%
Utilities11.3%

Current top quintile (76 names)

TickerNameSectorSignal ↓Z-score
MASMASCO CORP /DE/Industrials788.9%6.73
ITGARTNER INCInformation Technology350.8%6.73
CLXCLOROX CO /DE/Materials203.3%6.73
CLCOLGATE PALMOLIVE COConsumer Staples132.9%6.73
GDDYGoDaddy Inc.Information Technology90.4%6.73
MAMastercard IncIndustrials57.8%4.09
FTNTFortinet, Inc.Information Technology54.0%3.79
APPAppLovin CorpInformation Technology51.0%3.55
TPRTAPESTRY, INC.Consumer Discretionary50.4%3.50
CORCencora, Inc.Health Care45.8%3.13
KMBKIMBERLY CLARK CORPMaterials34.7%2.24
WDCWESTERN DIGITAL CORPInformation Technology33.1%2.11
GEVGE Vernova Inc.Industrials31.5%1.98
NVDANVIDIA CORPInformation Technology29.8%1.85
HASHASBRO, INC.Consumer Discretionary29.4%1.81
AAPLApple Inc.Information Technology27.8%1.68
SNDKSandisk CorpInformation Technology26.2%1.56
ITWILLINOIS TOOL WORKS INCIndustrials23.8%1.36
HDHOME DEPOT, INC.Consumer Discretionary23.7%1.35
LLYELI LILLY & CoHealth Care23.7%1.35
MCOMOODYS CORP /DE/Industrials21.0%1.14
AMGNAMGEN INCHealth Care19.8%1.04
ZTSZoetis Inc.Health Care18.6%0.94
VSTVistra Corp.Utilities18.3%0.92
IDXXIDEXX LABORATORIES INC /DEHealth Care17.9%0.88
GOOGLAlphabet Inc.Communication Services17.5%0.85
NFLXNETFLIX INCCommunication Services17.0%0.81
VVISA INC.Industrials16.9%0.80
ADSKAutodesk, Inc.Information Technology15.4%0.68
PTCPTC INC.Information Technology15.3%0.67
INTUINTUIT INC.Information Technology14.8%0.64
FISFidelity National Information Services, Inc.Financials14.8%0.63
SYYSYSCO CORPConsumer Staples14.8%0.63
AMPAMERIPRISE FINANCIAL INCFinancials14.7%0.63
TRGPTarga Resources Corp.Energy14.7%0.62
MSIMotorola Solutions, Inc.Information Technology14.3%0.59
CATCATERPILLAR INCIndustrials13.7%0.54
MLMMARTIN MARIETTA MATERIALS INCMaterials13.4%0.52
ULTAUlta Beauty, Inc.Consumer Discretionary13.2%0.50
GOOGAlphabet Inc.Communication Services13.1%0.49
TJXTJX COMPANIES INC /DE/Consumer Discretionary12.8%0.47
GWWW.W. GRAINGER, INC.Industrials12.8%0.47
CMGCHIPOTLE MEXICAN GRILL INCConsumer Discretionary12.6%0.45
WSMWILLIAMS SONOMA INCConsumer Discretionary12.4%0.44
AONAon plcFinancials12.2%0.42
SHWSHERWIN WILLIAMS COConsumer Discretionary12.1%0.41
AMATAPPLIED MATERIALS INC /DEInformation Technology11.7%0.39
EBAYEBAY INCIndustrials11.6%0.38
METAMeta Platforms, Inc.Communication Services11.0%0.33
KOCOCA COLA COConsumer Staples11.0%0.33
PEPPEPSICO INCConsumer Staples10.8%0.31
HWMHowmet Aerospace Inc.Materials10.5%0.29
CTASCINTAS CORPConsumer Discretionary10.5%0.29
GEGENERAL ELECTRIC COIndustrials10.4%0.28
ROSTROSS STORES, INC.Consumer Discretionary10.3%0.27
PLTRPalantir Technologies Inc.Information Technology10.2%0.26
EXPDEXPEDITORS INTERNATIONAL OF WASHINGTON INCIndustrials10.0%0.25
NXPINXP Semiconductors N.V.Information Technology10.0%0.24
DLTRDOLLAR TREE, INC.Consumer Discretionary9.9%0.24
CPAYCORPAY, INC.Financials9.8%0.23
ROKROCKWELL AUTOMATION, INCHealth Care9.8%0.23
LIILENNOX INTERNATIONAL INCIndustrials9.7%0.22
RCLROYAL CARIBBEAN CRUISES LTDIndustrials9.4%0.20
SPGSIMON PROPERTY GROUP INC.Real Estate9.4%0.19
NEMNEWMONT Corp /DE/Materials9.3%0.19
CDWCDW CorpConsumer Discretionary9.2%0.18
TXNTEXAS INSTRUMENTS INCInformation Technology9.2%0.18
HSYHERSHEY COConsumer Staples9.2%0.18
VRTVertiv Holdings CoInformation Technology9.2%0.18
TPLTexas Pacific Land CorpFinancials9.2%0.18
BBYBEST BUY CO INCConsumer Discretionary8.9%0.16
PGRPROGRESSIVE CORP/OH/Financials8.8%0.15
AMTAMERICAN TOWER CORP /MA/Real Estate8.6%0.14
CHRWC. H. ROBINSON WORLDWIDE, INC.Industrials8.6%0.14
GILDGILEAD SCIENCES, INC.Health Care8.6%0.14
OXYOCCIDENTAL PETROLEUM CORP /DE/Energy8.5%0.12