Quality

Most recently reported Return on Equity. Higher = better.

As of 2026-06-02 · 74 names held · backtest spans 223 months

Trailing returns

-1.34%

SPY +0.14%

+4.81%

SPY +0.14%

+8.00%

SPY +0.14%

+14.96%

SPY +1.09%

YTD

+13.79%

SPY +0.73%

+21.91%

SPY +16.90%

+101.20%

SPY +75.15%

10Y

+330.60%

SPY +283.46%

20Y

—

SPY —

Cumulative return vs SPY

Performance stats

Metric	Factor	SPY
Annualized return (1 + total) ^ (252/4653) − 1	+13.54%	+10.66%
Annualized volatility daily-return stdev × √252	+20.87%	+19.75%
Sharpe ratio ann return ÷ ann vol (rf = 0)	0.65	0.54
Max drawdown worst peak-to-trough on the cumulative series	-55.83%	—
Information ratio ann excess return ÷ tracking error (vs SPY)	0.36	—
Monthly hit rate share of months where factor return > SPY	57% (128/223)	—

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

Sector	Names	% of screen
Information Technology	17	23.0%
Industrials	17	23.0%
Consumer Discretionary	14	18.9%
Health Care	10	13.5%
Consumer Staples	5	6.8%
Communication Services	3	4.1%
Financials	3	4.1%
Energy	2	2.7%
Utilities	2	2.7%
Materials	1	1.4%

Current top quintile (74 names)

Ticker	Name	Sector	Signal ↓	Z-score
GDDY	GoDaddy	Information Technology	229.3%	2.76
AAPL	Apple Inc.	Information Technology	151.9%	2.76
COR	Cencora	Health Care	103.1%	2.76
CL	Colgate-Palmolive	Consumer Staples	85.9%	2.76
LYV	Live Nation Entertainment	Communication Services	82.8%	2.76
EXPE	Expedia Group	Consumer Discretionary	71.7%	2.38
TPR	Tapestry, Inc.	Consumer Discretionary	68.8%	2.28
FTNT	Fortinet	Information Technology	64.5%	2.13
ADBE	Adobe Inc.	Information Technology	61.3%	2.02
VRSK	Verisk Analytics	Industrials	59.9%	1.97
APP	AppLovin	Information Technology	56.7%	1.86
NFLX	Netflix	Communication Services	41.3%	1.32
AMAT	Applied Materials	Information Technology	34.3%	1.08
KMB	Kimberly-Clark	Consumer Staples	33.5%	1.05
AMGN	Amgen	Health Care	33.4%	1.05
NTAP	NetApp	Information Technology	30.9%	0.96
HD	Home Depot (The)	Consumer Discretionary	29.7%	0.92
NVDA	Nvidia	Information Technology	26.8%	0.82
LVS	Las Vegas Sands	Consumer Discretionary	26.7%	0.81
LMT	Lockheed Martin	Industrials	26.2%	0.79
JCI	Johnson Controls	Industrials	25.5%	0.77
SOLV	Solventum	Health Care	25.4%	0.77
MSI	Motorola Solutions	Information Technology	24.1%	0.72
UPS	United Parcel Service	Industrials	23.9%	0.71
ROK	Rockwell Automation	Industrials	23.8%	0.71
UBER	Uber	Industrials	23.5%	0.70
LLY	Lilly (Eli)	Health Care	23.5%	0.70
SYY	Sysco	Consumer Staples	23.0%	0.68
LII	Lennox International	Industrials	23.0%	0.68
KLAC	KLA Corporation	Information Technology	22.5%	0.67
WDC	Western Digital	Information Technology	20.1%	0.58
DE	Deere & Company	Industrials	19.4%	0.56
A	Agilent Technologies	Health Care	19.3%	0.56
PTC	PTC Inc.	Information Technology	19.2%	0.55
NCLH	Norwegian Cruise Line Holdings	Consumer Discretionary	19.1%	0.55
SHW	Sherwin-Williams	Materials	18.8%	0.54
MMM	3M	Industrials	18.0%	0.51
TRGP	Targa Resources	Energy	17.7%	0.50
IDXX	Idexx Laboratories	Health Care	17.6%	0.50
RJF	Raymond James Financial	Financials	17.1%	0.48
AES	AES Corporation	Utilities	16.5%	0.46
MCO	Moody's Corporation	Financials	16.3%	0.45
ABNB	Airbnb	Consumer Discretionary	16.0%	0.44
NDSN	Nordson Corporation	Industrials	15.9%	0.44
ADP	Automatic Data Processing	Industrials	15.9%	0.44
RCL	Royal Caribbean Group	Consumer Discretionary	15.6%	0.43
CCL	Carnival Corporation	Consumer Discretionary	15.5%	0.42
TJX	TJX Companies	Consumer Discretionary	15.4%	0.42
LRCX	Lam Research	Information Technology	15.4%	0.42
KEYS	Keysight Technologies	Information Technology	14.4%	0.39
GILD	Gilead Sciences	Health Care	14.2%	0.38
AMP	Ameriprise Financial	Financials	14.1%	0.38
PEP	PepsiCo	Consumer Staples	13.4%	0.35
EBAY	eBay Inc.	Consumer Discretionary	13.4%	0.35
ZTS	Zoetis	Health Care	13.4%	0.35
FIX	Comfort Systems USA	Industrials	13.1%	0.34
SLB	Schlumberger	Energy	12.9%	0.33
VST	Vistra Corp.	Utilities	12.5%	0.32
ADSK	Autodesk	Information Technology	11.9%	0.30
CMG	Chipotle Mexican Grill	Consumer Discretionary	11.9%	0.30
KO	Coca-Cola Company (The)	Consumer Staples	11.8%	0.30
WSM	Williams-Sonoma, Inc.	Consumer Discretionary	11.7%	0.29
GE	GE Aerospace	Industrials	11.5%	0.28
CDW	CDW Corporation	Information Technology	11.5%	0.28
DRI	Darden Restaurants	Consumer Discretionary	11.4%	0.28
VRT	Vertiv	Industrials	11.4%	0.28
DIS	Walt Disney Company (The)	Communication Services	11.3%	0.28
MRK	Merck & Co.	Health Care	11.2%	0.27
CTAS	Cintas	Industrials	11.1%	0.27
DECK	Deckers Brands	Consumer Discretionary	10.9%	0.26
HON	Honeywell	Industrials	10.9%	0.26
JBL	Jabil	Information Technology	10.9%	0.26
ROL	Rollins, Inc.	Industrials	10.7%	0.25
DXCM	Dexcom	Health Care	10.4%	0.25