Quality

Most recently reported Return on Equity. Higher = better.

As of 2026-06-10 · 87 names held · backtest spans 226 months

Trailing returns

-1.36%

SPY -4.49%

+1.05%

SPY -4.36%

+8.31%

SPY -4.36%

+12.25%

SPY -4.30%

YTD

+12.39%

SPY -3.79%

+18.40%

SPY +9.73%

+74.51%

SPY +65.09%

10Y

+294.76%

SPY +266.59%

20Y

—

SPY —

Cumulative return vs SPY

Performance stats

Metric	Factor	SPY
Annualized return (1 + total) ^ (252/4721) − 1	+13.86%	+10.30%
Annualized volatility daily-return stdev × √252	+20.14%	+19.74%
Sharpe ratio ann return ÷ ann vol (rf = 0)	0.69	0.52
Max drawdown worst peak-to-trough on the cumulative series	-51.87%	—
Information ratio ann excess return ÷ tracking error (vs SPY)	0.50	—
Monthly hit rate share of months where factor return > SPY	58% (130/226)	—

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	23	26.4%
Industrials	17	19.5%
Consumer Discretionary	14	16.1%
Consumer Staples	11	12.6%
Financials	7	8.0%
Health Care	7	8.0%
Communication Services	4	4.6%
Materials	2	2.3%
Utilities	1	1.1%
Energy	1	1.1%

Current top quintile (87 names)

Ticker	Name	Sector	Signal ↓	Z-score
MAS	Masco	Industrials	788.9%	6.57
IT	Gartner	Information Technology	350.8%	6.57
CLX	Clorox	Consumer Staples	203.3%	6.57
CL	Colgate-Palmolive	Consumer Staples	132.9%	6.57
HD	Home Depot (The)	Consumer Discretionary	110.5%	6.57
GDDY	GoDaddy	Information Technology	90.4%	5.28
NVDA	Nvidia	Information Technology	76.3%	4.37
STX	Seagate Technology	Information Technology	68.3%	3.85
MA	Mastercard	Financials	57.8%	3.17
FTNT	Fortinet	Information Technology	54.0%	2.93
TJX	TJX Companies	Consumer Discretionary	53.9%	2.92
APP	AppLovin	Information Technology	51.0%	2.74
TPR	Tapestry, Inc.	Consumer Discretionary	50.4%	2.70
COR	Cencora	Health Care	45.8%	2.40
ULTA	Ulta Beauty	Consumer Discretionary	41.1%	2.10
DECK	Deckers Brands	Consumer Discretionary	41.0%	2.09
ADSK	Autodesk	Information Technology	36.9%	1.83
BBY	Best Buy	Consumer Discretionary	36.1%	1.78
LVS	Las Vegas Sands	Consumer Discretionary	35.3%	1.72
KMB	Kimberly-Clark	Consumer Staples	34.7%	1.69
ROST	Ross Stores	Consumer Discretionary	34.7%	1.69
DLTR	Dollar Tree	Consumer Staples	34.2%	1.65
RL	Ralph Lauren Corporation	Consumer Discretionary	33.1%	1.59
WDC	Western Digital	Information Technology	33.1%	1.58
LULU	Lululemon Athletica	Consumer Discretionary	31.8%	1.50
GEV	GE Vernova	Industrials	31.5%	1.48
HAS	Hasbro	Consumer Discretionary	29.4%	1.35
NTAP	NetApp	Information Technology	28.8%	1.31
AAPL	Apple Inc.	Information Technology	27.8%	1.24
QCOM	Qualcomm	Information Technology	27.0%	1.19
SNDK	Sandisk	Information Technology	26.2%	1.14
ITW	Illinois Tool Works	Industrials	23.8%	0.98
LLY	Lilly (Eli)	Health Care	23.7%	0.98
ADP	Automatic Data Processing	Industrials	21.4%	0.83
MCO	Moody's Corporation	Financials	21.0%	0.81
WMT	Walmart	Consumer Staples	20.7%	0.78
KLAC	KLA Corporation	Information Technology	20.6%	0.78
STZ	Constellation Brands	Consumer Staples	20.1%	0.75
LMT	Lockheed Martin	Industrials	19.9%	0.73
AMGN	Amgen	Health Care	19.8%	0.73
MMM	3M	Industrials	19.7%	0.72
MU	Micron Technology	Information Technology	19.0%	0.68
ZTS	Zoetis	Health Care	18.6%	0.65
VST	Vistra Corp.	Utilities	18.3%	0.63
IDXX	Idexx Laboratories	Health Care	17.9%	0.60
DG	Dollar General	Consumer Staples	17.8%	0.60
LRCX	Lam Research	Information Technology	17.3%	0.56
KR	Kroger	Consumer Staples	17.1%	0.56
NFLX	Netflix	Communication Services	17.0%	0.55
V	Visa Inc.	Financials	16.9%	0.54
JBL	Jabil	Information Technology	16.5%	0.52
ADBE	Adobe Inc.	Information Technology	16.5%	0.52
PTC	PTC Inc.	Information Technology	15.3%	0.44
FIS	Fidelity National Information Services	Financials	14.8%	0.41
SYY	Sysco	Consumer Staples	14.8%	0.41
AMP	Ameriprise Financial	Financials	14.7%	0.40
TRGP	Targa Resources	Energy	14.7%	0.40
DRI	Darden Restaurants	Consumer Discretionary	14.6%	0.39
MSI	Motorola Solutions	Information Technology	14.3%	0.37
PAYX	Paychex	Industrials	14.0%	0.35
CAT	Caterpillar Inc.	Industrials	13.7%	0.33
MLM	Martin Marietta Materials	Materials	13.4%	0.31
FIX	Comfort Systems USA	Industrials	13.2%	0.30
EA	Electronic Arts	Communication Services	13.1%	0.30
GOOG	Alphabet Inc. (Class C)	Communication Services	13.1%	0.29
GWW	W. W. Grainger	Industrials	12.8%	0.28
CRM	Salesforce	Information Technology	12.6%	0.26
VEEV	Veeva Systems	Health Care	12.6%	0.26
CMG	Chipotle Mexican Grill	Consumer Discretionary	12.6%	0.26
AON	Aon plc	Financials	12.2%	0.24
SHW	Sherwin-Williams	Materials	12.1%	0.23
EBAY	eBay Inc.	Consumer Discretionary	11.6%	0.20
META	Meta Platforms	Communication Services	11.0%	0.16
KO	Coca-Cola Company (The)	Consumer Staples	11.0%	0.16
STE	Steris	Health Care	10.9%	0.15
PEP	PepsiCo	Consumer Staples	10.8%	0.15
HWM	Howmet Aerospace	Industrials	10.5%	0.13
CTAS	Cintas	Industrials	10.5%	0.13
GE	GE Aerospace	Industrials	10.4%	0.12
PLTR	Palantir Technologies	Information Technology	10.2%	0.11
EXPD	Expeditors International	Industrials	10.0%	0.10
NXPI	NXP Semiconductors	Information Technology	10.0%	0.09
CPAY	Corpay	Financials	9.8%	0.09
BR	Broadridge Financial Solutions	Industrials	9.8%	0.08
ROK	Rockwell Automation	Industrials	9.8%	0.08
LII	Lennox International	Industrials	9.7%	0.07
ORCL	Oracle Corporation	Information Technology	9.5%	0.07