Systematic factor / S&P 500
Quality
Stocks with strong profitability, lower leverage, and more stable earnings.
1 day vs S&P 500+0.4%relative return
20 days vs S&P 500+0.1%relative return
5-day z-score-0.03σrelative move vs trailing history
Year to date+17.4%long portfolio return
Performance
Quality vs S&P 500
Daily long-portfolio return minus the benchmark return, compounded over the selected period. Positive means the factor led the market.
| Return | 1 day | 5 days | 20 days | 60 days | MTD | YTD | 1 year |
|---|---|---|---|---|---|---|---|
| Long portfolio | -0.0% | +0.2% | -0.2% | +6.7% | +0.4% | +17.4% | +22.3% |
| vs S&P 500 | +0.4% | +0.0% | +0.1% | +0.5% | -0.1% | +3.9% | +2.3% |
| Q5 − Q1 spread | -0.4% | -1.7% | -3.5% | -3.6% | -1.8% | -7.3% | -9.8% |
Inside the factor
Rebalanced 2026-08-31 · 5% of the long book is new.
Top quintile: the highest-scoring stocks. Weights below are for the cap-weighted long portfolio.
| AAPLApple Inc. | Technology | 5.00% | 1.53 | 2019-12-31 | -2.5% | +0.1% | +2.2% | +9.8% | +1.0% | +18.0% | +33.9% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| GOOGLAlphabet Inc. (Class A) | Communication Services | 5.00% | 0.65 | 2021-03-31 | -1.1% | -2.3% | -4.4% | -5.0% | -0.2% | +8.3% | +46.2% |
| LLYLilly (Eli) | Healthcare | 5.00% | 0.67 | 2025-01-31 | -1.0% | -2.2% | -3.0% | +1.2% | -0.7% | +7.4% | +55.5% |
| METAMeta Platforms | Communication Services | 5.00% | 0.37 | 2023-10-31 | +1.0% | +6.7% | +4.2% | +8.1% | +7.8% | -6.4% | -17.3% |
| MSFTMicrosoft | Technology | 5.00% | 0.49 | 2019-12-31 | -2.0% | -2.7% | +0.1% | +26.0% | -1.5% | +4.0% | -0.8% |
| MUMicron Technology | Technology | 5.00% | 0.70 | 2026-03-31 | +6.1% | +9.0% | +15.8% | +14.0% | +6.0% | +256.4% | +719.8% |
| NVDANvidia | Technology | 5.00% | 1.29 | 2023-08-31 | +0.8% | +5.9% | +2.9% | +14.9% | +4.3% | +23.7% | +34.4% |
| VVisa Inc. | Financial Services | 4.64% | 0.70 | 2019-12-31 | -1.0% | -1.7% | +3.7% | +16.4% | -1.1% | +7.6% | +7.7% |
| MAMastercard | Financial Services | 3.32% | 0.64 | 2019-12-31 | -1.1% | -2.7% | +2.9% | +18.6% | -1.7% | +2.0% | -2.1% |
| PLTRPalantir Technologies | Technology | 2.85% | 0.51 | 2026-02-27 | -4.5% | -6.4% | +1.4% | +33.9% | -6.5% | -1.9% | +11.7% |
| COSTCostco | Consumer Defensive | 2.66% | 0.44 | 2019-12-31 | -1.0% | -3.1% | -3.4% | -6.7% | -3.0% | +6.7% | -3.6% |
| LRCXLam Research | Technology | 2.62% | 0.82 | 2022-02-28 | +5.1% | +1.9% | -1.2% | -4.3% | +2.0% | +80.1% | +208.1% |
| KOCoca-Cola Company (The) | Consumer Defensive | 2.44% | 0.37 | 2025-10-31 | -0.8% | -1.8% | +1.2% | +6.0% | -0.7% | +27.7% | +32.7% |
| PGProcter & Gamble | Consumer Defensive | 2.26% | 0.35 | 2022-06-30 | -0.3% | +1.8% | +0.4% | -1.0% | +0.9% | +4.5% | -5.3% |
| AMATApplied Materials | Technology | 2.24% | 0.56 | 2019-12-31 | +4.3% | -1.5% | -15.6% | -8.4% | -0.8% | +77.6% | +189.0% |
| NFLXNetflix | Communication Services | 2.17% | 0.41 | 2025-07-31 | -5.3% | -4.2% | +5.5% | -4.6% | -3.5% | -16.5% | -37.8% |
| HDHome Depot (The) | Consumer Cyclical | 2.13% | 0.42 | 2025-08-29 | +0.9% | -2.1% | -9.1% | +1.4% | -1.4% | -4.7% | -19.8% |
| DELLDell Technologies | Technology | 1.89% | 0.36 | 2026-03-31 | +1.5% | +14.8% | +15.5% | +41.9% | +14.9% | +320.1% | +319.0% |
| ANETArista Networks | Technology | 1.57% | 0.53 | 2019-12-31 | +1.2% | -0.8% | +2.7% | +27.7% | -1.0% | +47.9% | +37.3% |
| GEVGE Vernova | Utilities | 1.54% | 0.78 | 2026-01-30 | +0.0% | +3.3% | -4.9% | +8.7% | +4.8% | +44.4% | +57.7% |
| TXNTexas Instruments | Technology | 1.53% | 0.37 | 2026-07-31 | +1.8% | -0.1% | -9.7% | -7.9% | -0.9% | +51.5% | +41.6% |
| KLACKLA Corporation | Technology | 1.47% | 0.92 | 2019-12-31 | +7.3% | +5.7% | -6.2% | -13.0% | +5.8% | +53.3% | +113.7% |
| MCDMcDonald's | Consumer Cyclical | 1.20% | 0.50 | 2019-12-31 | -1.5% | -2.8% | -6.2% | -8.8% | -2.3% | -14.7% | -17.3% |
| STXSeagate Technology | Technology | 1.16% | 0.96 | 2026-04-30 | +6.3% | +2.4% | +4.5% | +4.2% | +2.5% | +209.1% | +365.4% |
| QCOMQualcomm | Technology | 1.15% | 0.38 | 2026-04-30 | +0.1% | +3.3% | +1.1% | -11.3% | -0.5% | +0.2% | +7.9% |
| WDCWestern Digital | Technology | 0.99% | 1.23 | 2026-04-30 | +5.9% | +1.7% | +7.6% | -4.6% | +3.8% | +171.6% | +417.4% |
| TJXTJX Companies | Consumer Cyclical | 0.96% | 0.54 | 2022-03-31 | -0.1% | -2.2% | -17.9% | -21.0% | -1.4% | -13.2% | -5.2% |
| VRTXVertex Pharmaceuticals | Healthcare | 0.88% | 0.35 | 2026-05-29 | -2.1% | +0.8% | +10.1% | +25.3% | +0.3% | +20.5% | +37.6% |
| ISRGIntuitive Surgical | Healthcare | 0.85% | 0.36 | 2026-04-30 | -0.9% | -1.6% | -3.2% | -11.0% | -2.7% | -35.2% | -19.3% |
| LMTLockheed Martin | Industrials | 0.82% | 0.54 | 2026-07-31 | -1.4% | -6.3% | -10.1% | +0.7% | -5.8% | +10.6% | +17.9% |
| FTNTFortinet | Technology | 0.80% | 1.42 | 2024-02-29 | -0.0% | -5.9% | -2.1% | +12.5% | -8.6% | +96.8% | +104.5% |
| ACNAccenture | Technology | 0.79% | 0.39 | 2019-12-31 | -3.3% | -1.5% | +6.3% | +10.8% | -1.6% | -28.6% | -23.7% |
| SBUXStarbucks | Consumer Cyclical | 0.78% | 0.44 | 2023-02-28 | -1.3% | -3.1% | -0.5% | +6.4% | -1.7% | +26.3% | +23.1% |
| ADBEAdobe Inc. | Technology | 0.75% | 0.71 | 2019-12-31 | -6.7% | -8.6% | +0.5% | +14.2% | -9.0% | -23.8% | -22.6% |
| ADPAutomatic Data Processing | Industrials | 0.73% | 0.78 | 2019-12-31 | -2.1% | -3.4% | +2.3% | +21.0% | -3.0% | +9.6% | -5.3% |
| ABNBAirbnb | Consumer Cyclical | 0.69% | 0.43 | 2026-02-27 | -1.8% | -4.0% | +2.2% | +40.9% | -0.7% | +34.1% | +45.1% |
| APPAppLovin Corporation | Technology | 0.67% | 0.68 | 2025-11-28 | +2.2% | +0.9% | -7.6% | -35.0% | +2.7% | -52.4% | -35.9% |
| TTTrane Technologies | Industrials | 0.63% | 0.45 | 2024-04-30 | +0.9% | +0.0% | -6.9% | -0.0% | +1.0% | +15.9% | +9.7% |
| HWMHowmet Aerospace | Industrials | 0.63% | 0.36 | 2026-08-31 NEW | -0.5% | -2.1% | -8.0% | +4.0% | +5.9% | +26.7% | +44.7% |
| HCAHCA Healthcare | Healthcare | 0.59% | 0.48 | 2021-08-31 | -1.0% | -3.1% | -2.0% | +8.7% | -2.3% | -13.0% | -0.9% |
| MARMarriott International | Consumer Cyclical | 0.59% | 0.48 | 2025-05-30 | +0.1% | -4.2% | -4.7% | -12.7% | -1.5% | +9.1% | +26.2% |
| MNSTMonster Beverage | Consumer Defensive | 0.57% | 0.45 | 2023-08-31 | -0.6% | -6.5% | -3.0% | -3.9% | -4.6% | +14.3% | +38.1% |
| MCOMoody's Corporation | Financial Services | 0.57% | 0.46 | 2023-04-28 | -2.1% | -4.2% | +3.5% | +9.7% | -2.2% | -2.7% | -0.4% |
| CTASCintas | Industrials | 0.52% | 0.51 | 2020-01-31 | -0.3% | -1.8% | -1.0% | +11.4% | -0.7% | +7.4% | -2.1% |
| ITWIllinois Tool Works | Industrials | 0.50% | 0.52 | 2019-12-31 | -0.6% | -3.6% | -8.9% | +8.6% | -1.9% | +11.0% | +4.2% |
| EOGEOG Resources | Energy | 0.49% | 0.35 | 2026-08-31 NEW | -0.5% | +1.3% | +7.8% | +4.3% | +0.2% | +41.7% | +23.6% |
| ORLYO'Reilly Auto Parts | Consumer Cyclical | 0.47% | 0.50 | 2021-11-30 | +0.6% | -0.7% | -6.0% | -2.8% | -1.0% | -3.6% | -16.3% |
| ROSTRoss Stores | Consumer Cyclical | 0.47% | 0.43 | 2024-09-30 | -0.4% | +0.9% | -9.6% | -0.5% | +0.9% | +28.6% | +52.3% |
| HLTHilton Worldwide | Consumer Cyclical | 0.46% | 0.40 | 2025-04-30 | -1.0% | -3.3% | -2.0% | -8.0% | -1.6% | +8.5% | +12.1% |
| TDGTransDigm Group | Industrials | 0.43% | 0.47 | 2025-02-28 | +0.4% | -2.0% | -5.2% | -4.2% | -0.8% | -12.6% | -9.3% |
| GWWW. W. Grainger | Industrials | 0.40% | 0.55 | 2020-10-30 | +0.9% | +1.4% | +3.9% | +0.7% | +1.1% | +32.0% | +29.9% |
| TERTeradyne | Technology | 0.37% | 0.52 | 2026-02-27 | +5.5% | +0.6% | -5.8% | +2.8% | +2.1% | +84.7% | +199.9% |
| FASTFastenal | Industrials | 0.36% | 0.54 | 2019-12-31 | +0.8% | -0.4% | -4.3% | +8.3% | +0.6% | +25.6% | +0.8% |
| GRMNGarmin | Technology | 0.35% | 0.41 | 2024-02-29 | -0.1% | -2.9% | -10.9% | +20.1% | -2.5% | +37.7% | +18.5% |
| ADSKAutodesk | Technology | 0.35% | 0.49 | 2023-03-31 | -8.3% | -16.4% | -12.5% | -1.5% | -15.7% | -26.4% | -31.9% |
| FIXComfort Systems USA, Inc. | Industrials | 0.35% | 0.77 | 2025-12-31 | +1.9% | +6.0% | -4.9% | -6.3% | +4.2% | +72.8% | +122.9% |
| AMPAmeriprise Financial | Financial Services | 0.33% | 0.61 | 2022-02-28 | -0.8% | +0.2% | +1.6% | +24.8% | +1.4% | +15.4% | +11.0% |
| AZOAutoZone | Consumer Cyclical | 0.32% | 0.50 | 2019-12-31 | +0.5% | +0.7% | -4.6% | -4.1% | -0.3% | -12.0% | -29.5% |
| PAYXPaychex | Industrials | 0.31% | 0.37 | 2026-07-31 | -2.7% | -4.2% | +1.4% | +21.6% | -4.4% | +12.2% | -7.5% |
| IDXXIdexx Laboratories | Healthcare | 0.29% | 0.85 | 2020-07-31 | +1.1% | -3.5% | -8.7% | -3.9% | -3.8% | -20.9% | -16.4% |
| YUMYum! Brands | Consumer Cyclical | 0.27% | 0.45 | 2019-12-31 | -1.2% | -2.1% | -0.0% | -0.2% | -1.7% | +0.6% | +6.4% |
| MSCIMSCI | Financial Services | 0.27% | 0.47 | 2019-12-31 | -0.3% | +0.4% | +2.1% | -5.5% | +0.4% | +1.0% | +4.3% |
| ODFLOld Dominion | Industrials | 0.27% | 0.45 | 2019-12-31 | +0.1% | -6.3% | -14.0% | -21.1% | -6.9% | +19.0% | +25.7% |
| EXPEExpedia Group | Consumer Cyclical | 0.24% | 0.53 | 2026-08-31 NEW | -1.7% | -9.5% | -3.9% | +36.3% | -6.0% | +5.8% | +38.7% |
| HIGHartford (The) | Financial Services | 0.24% | 0.38 | 2026-02-27 | -1.2% | +0.3% | -3.0% | +7.5% | +1.2% | +1.8% | +4.6% |
| NTAPNetApp | Technology | 0.23% | 0.83 | 2020-12-31 | +0.1% | -0.8% | -2.1% | +15.9% | +0.2% | +75.6% | +58.9% |
| KMBKimberly-Clark | Consumer Defensive | 0.23% | 0.66 | 2025-07-31 | -1.6% | -3.0% | -3.2% | +4.6% | -1.6% | +8.1% | -13.7% |
| DXCMDexcom | Healthcare | 0.22% | 0.45 | 2026-02-27 | -2.0% | -3.2% | +3.7% | +17.6% | -3.5% | +32.4% | +8.8% |
| RMDResMed | Healthcare | 0.22% | 0.41 | 2024-06-28 | -0.4% | -5.0% | +8.1% | +18.3% | -4.9% | -4.4% | -15.7% |
| EMEEMCOR Group, Inc. | Industrials | 0.21% | 0.59 | 2025-09-30 | +1.7% | +1.9% | -7.7% | -2.9% | +2.7% | +23.5% | +18.0% |
| CPRTCopart | Consumer Cyclical | 0.20% | 0.37 | 2019-12-31 | +0.4% | +2.2% | +13.7% | +7.5% | +2.2% | -13.9% | -32.5% |
| CBOECboe Global Markets | Financial Services | 0.20% | 0.40 | 2026-03-31 | -0.0% | -3.6% | +4.4% | -0.6% | -0.6% | +19.8% | +28.7% |
| WSMWilliams-Sonoma | Consumer Cyclical | 0.18% | 0.61 | 2025-03-31 | +2.1% | -3.3% | -9.7% | +10.3% | -0.4% | +28.7% | +13.7% |
| OTISOtis Worldwide | Industrials | 0.18% | 0.48 | 2022-02-28 | -0.4% | -0.7% | -3.2% | +2.9% | +0.1% | -17.1% | -15.9% |
| VRSNVerisign | Technology | 0.17% | 0.49 | 2019-12-31 | -0.4% | +0.1% | -0.5% | +1.7% | +1.3% | +21.3% | +6.7% |
| FICOFair Isaac | Technology | 0.17% | 0.48 | 2023-03-31 | -16.7% | -19.2% | -10.5% | -23.6% | -18.7% | -44.9% | -38.6% |
| TPLTexas Pacific Land Corporation | Energy | 0.17% | 0.58 | 2024-11-29 | -1.1% | -0.4% | +6.6% | -3.2% | -3.0% | +26.7% | +17.5% |
| VRSKVerisk Analytics | Industrials | 0.16% | 0.37 | 2026-04-30 | -2.5% | -3.1% | -3.1% | +1.7% | -4.1% | -16.5% | -30.6% |
| EXPDExpeditors International | Industrials | 0.16% | 0.58 | 2019-12-31 | +0.9% | -1.1% | +5.7% | +14.6% | -0.4% | +27.4% | +56.8% |
| INCYIncyte | Healthcare | 0.16% | 0.39 | 2025-10-31 | -1.0% | +1.9% | +5.1% | +20.3% | +2.9% | +28.3% | +48.4% |
| WSTWest Pharmaceutical Services | Healthcare | 0.15% | 0.36 | 2026-08-31 NEW | -0.8% | +0.7% | -4.0% | +2.8% | -0.3% | +23.8% | +37.8% |
| TROWT. Rowe Price | Financial Services | 0.15% | 0.39 | 2024-02-29 | -1.0% | -1.3% | -3.7% | +4.4% | -1.4% | +10.1% | +3.6% |
| ULTAUlta Beauty | Consumer Cyclical | 0.15% | 0.46 | 2024-08-30 | +1.3% | +9.0% | -0.2% | +19.8% | +5.0% | -6.8% | +6.5% |
| FFIVF5, Inc. | Technology | 0.15% | 0.37 | 2025-02-28 | -0.4% | -1.0% | -2.4% | -0.1% | -4.1% | +53.0% | +24.2% |
| SBACSBA Communications | Real Estate | 0.13% | 0.42 | 2025-05-30 | -1.1% | -0.8% | +3.6% | -8.0% | -0.1% | -0.1% | -0.5% |
| CFCF Industries | Basic Materials | 0.13% | 0.44 | 2026-05-29 | -3.2% | +6.0% | +17.2% | +22.7% | +2.5% | +75.0% | +61.7% |
| PTCPTC Inc. | Technology | 0.11% | 0.42 | 2026-05-29 | -6.0% | -10.3% | -4.5% | +4.4% | -9.4% | -19.1% | -33.9% |
| ROLRollins, Inc. | Consumer Cyclical | 0.11% | 0.40 | 2019-12-31 | +0.4% | -1.4% | -4.5% | -24.6% | -0.6% | -39.6% | -36.0% |
| NVRNVR, Inc. | Consumer Cyclical | 0.11% | 0.45 | 2019-12-31 | -1.2% | -1.5% | -1.4% | -0.1% | -0.3% | -13.6% | -25.1% |
| MASMasco | Industrials | 0.09% | 0.48 | 2025-07-31 | +1.8% | -0.8% | -5.8% | +3.0% | +0.8% | +16.1% | +0.1% |
| LULULululemon Athletica | Consumer Cyclical | 0.09% | 0.37 | 2023-10-31 | -17.4% | -16.7% | -21.8% | -15.4% | -16.3% | -51.6% | -51.2% |
| LIILennox International | Industrials | 0.08% | 0.58 | 2024-12-31 | +1.1% | -0.7% | -11.2% | -22.4% | +2.1% | -19.1% | -29.7% |
| ITGartner | Technology | 0.08% | 0.43 | 2026-08-31 NEW | -4.6% | -6.0% | +0.4% | +20.3% | -5.9% | -26.1% | -21.2% |
| JKHYJack Henry & Associates | Technology | 0.08% | 0.44 | 2019-12-31 | -1.6% | -2.4% | +6.2% | +30.3% | -1.4% | -8.2% | +4.2% |
| DECKDeckers Brands | Consumer Cyclical | 0.08% | 0.60 | 2024-03-28 | +1.6% | -2.2% | -11.9% | -22.8% | -1.5% | -17.2% | -30.8% |
| ERIEErie Indemnity | Financial Services | 0.08% | 0.44 | 2024-09-30 | -2.2% | -2.9% | +0.1% | +9.6% | -1.1% | -10.3% | -23.3% |
| DVADaVita | Healthcare | 0.07% | 0.43 | 2025-05-30 | +1.3% | +1.8% | +0.1% | -7.3% | +4.5% | +62.0% | +35.7% |
| DPZDomino's | Consumer Cyclical | 0.07% | 0.49 | 2020-05-29 | -1.7% | -2.5% | -2.8% | +9.0% | -0.3% | -17.2% | -24.9% |
| AOSA. O. Smith | Industrials | 0.05% | 0.36 | 2024-02-29 | -0.1% | +0.2% | -5.5% | +6.3% | +2.3% | -8.0% | -14.9% |
| PGRProgressive Corporation | Financial Services | — | 0.40 | 2024-08-30 | -2.2% | +0.1% | +1.7% | +7.3% | +0.4% | +2.4% | -6.4% |
Bottom quintile: the lowest-scoring stocks, used as the equal-weighted short leg of the spread.
| HPQHP Inc. | Technology | -4.50 | 2023-12-29 | +2.2% | +7.0% | +8.6% | +32.2% | +8.7% | +50.7% | +18.6% |
|---|---|---|---|---|---|---|---|---|---|---|
| IRMIron Mountain | Real Estate | -4.50 | 2019-12-31 | +1.6% | -0.5% | -3.5% | -4.6% | +1.3% | +43.0% | +32.7% |
| WYNNWynn Resorts | Consumer Cyclical | -2.38 | 2024-04-30 | -0.0% | -3.9% | -10.5% | -12.8% | +0.3% | -23.4% | -24.8% |
| EIXEdison International | Utilities | -1.86 | 2023-12-29 | +0.8% | -19.1% | -17.3% | -19.7% | +5.2% | -1.7% | +9.6% |
| ABBVAbbVie | Healthcare | -1.83 | 2026-02-27 | -1.5% | +0.3% | +4.2% | +14.8% | -0.0% | +14.8% | +24.1% |
| PNWPinnacle West | Utilities | -1.79 | 2025-02-28 | -0.5% | -0.1% | -3.5% | -4.5% | -0.1% | +13.0% | +13.5% |
| LITELumentum Holdings Inc. | Technology | -1.68 | 2026-03-31 | +4.0% | -1.5% | -1.0% | +3.3% | -3.7% | +139.1% | +521.0% |
| MTDMettler Toledo | Healthcare | -1.63 | 2026-07-31 | -0.8% | -3.8% | -5.9% | +18.7% | -4.3% | -3.5% | +4.5% |
| PFEPfizer | Healthcare | -1.59 | 2025-08-29 | -1.2% | +1.8% | +6.3% | +13.1% | -0.0% | +20.1% | +24.1% |
| FFord Motor Company | Consumer Cyclical | -1.57 | 2022-04-29 | +1.5% | +5.3% | +5.7% | +3.3% | +4.9% | +15.2% | +31.0% |
| ALBAlbemarle Corporation | Basic Materials | -1.52 | 2026-05-29 | -4.5% | -8.1% | -3.7% | -14.0% | -6.4% | -10.3% | +61.5% |
| DISWalt Disney Company (The) | Communication Services | -1.51 | 2025-05-30 | -1.8% | -2.6% | +0.4% | +7.6% | -2.1% | -6.8% | -10.1% |
| BABoeing | Industrials | -1.48 | 2022-10-31 | +0.8% | +1.2% | -9.5% | +1.6% | +2.1% | -2.2% | -8.0% |
| CLColgate-Palmolive | Consumer Defensive | -1.48 | 2024-02-29 | -1.5% | -2.2% | -4.8% | -0.8% | -1.2% | +14.4% | +8.8% |
| WDAYWorkday, Inc. | Technology | -1.46 | 2024-12-31 | -5.4% | -4.4% | +9.0% | +42.4% | -0.8% | -8.8% | -15.3% |
| BXBlackstone Inc. | Financial Services | -1.42 | 2023-09-29 | -1.1% | -4.4% | -0.7% | +16.1% | -5.0% | -8.9% | -16.6% |
| PSXPhillips 66 | Energy | -1.38 | 2026-02-27 | +0.2% | +4.5% | +25.8% | +41.1% | +3.5% | +101.8% | +99.6% |
| IFFInternational Flavors & Fragrances | Basic Materials | -1.33 | 2024-02-29 | -0.1% | -1.8% | +0.5% | +16.9% | +0.0% | +29.6% | +35.0% |
| MGMMGM Resorts | Consumer Cyclical | -1.28 | 2019-12-31 | +0.2% | -2.5% | -7.3% | -12.1% | -0.3% | +13.0% | +11.3% |
| STESteris | Healthcare | -1.21 | 2025-05-30 | -1.0% | -3.9% | -5.4% | +8.2% | -3.5% | -10.7% | -6.7% |
| GSGoldman Sachs | Financial Services | -1.16 | 2019-12-31 | +0.1% | +0.9% | +0.4% | +4.2% | +1.7% | +19.9% | +41.4% |
| IBKRInteractive Brokers Group | Financial Services | -1.14 | 2026-08-31 NEW | -0.4% | -3.3% | +5.5% | +8.5% | -4.7% | +44.5% | +44.7% |
| KHCKraft Heinz | Consumer Defensive | -1.12 | 2025-07-31 | -0.7% | -1.8% | -0.3% | +5.0% | -1.7% | +7.8% | -1.5% |
| ECHOEchoStar Corporation | Communication Services | -1.11 | 2022-02-28 | +0.0% | +3.4% | -0.3% | -22.1% | +3.9% | -17.4% | +33.6% |
| AESAES Corporation | Utilities | -1.05 | 2019-12-31 | +0.1% | +0.4% | +0.4% | +2.4% | +0.3% | +6.9% | +21.2% |
| CRWDCrowdStrike | Technology | -1.00 | 2024-06-28 | -0.9% | -2.4% | -0.6% | +31.6% | -7.8% | +81.8% | +106.7% |
| CORCencora | Healthcare | -0.99 | 2025-11-28 | -1.9% | +2.8% | +3.5% | +17.9% | +2.3% | -1.4% | +13.9% |
| NCLHNorwegian Cruise Line Holdings | Consumer Cyclical | -0.98 | 2024-11-29 | -0.1% | -6.5% | -19.1% | -13.1% | -3.5% | -30.2% | -39.2% |
| TRGPTarga Resources | Energy | -0.95 | 2022-10-31 | -1.2% | +0.8% | +12.9% | +6.9% | -1.2% | +59.5% | +77.9% |
| CHTRCharter Communications | Communication Services | -0.91 | 2019-12-31 | +0.4% | -1.1% | -0.4% | +10.3% | -0.3% | -27.2% | -41.4% |
| CAHCardinal Health | Healthcare | -0.90 | 2024-11-29 | -0.6% | +5.4% | +4.6% | +14.5% | +5.3% | +21.1% | +67.2% |
| ACGLArch Capital Group | Financial Services | -0.89 | 2023-11-30 | -1.7% | -0.8% | -0.4% | +7.4% | +0.0% | +2.3% | +6.4% |
| NRGNRG Energy | Utilities | -0.86 | 2025-08-29 | +6.4% | +7.1% | +0.8% | -1.0% | +8.1% | -24.5% | -18.6% |
| INTCIntel | Technology | -0.83 | 2024-11-29 | +4.5% | +7.1% | -5.8% | -10.5% | +7.0% | +159.6% | +289.3% |
| MSMorgan Stanley | Financial Services | -0.82 | 2023-08-31 | +0.2% | +1.4% | +0.6% | +5.9% | +2.1% | +24.6% | +47.9% |
| LYVLive Nation Entertainment | Communication Services | -0.76 | 2026-07-31 | -2.2% | -4.5% | -4.0% | +3.6% | -3.5% | +21.8% | +6.5% |
| ARESAres Management Corporation | Financial Services | -0.74 | 2025-12-31 | -1.0% | -1.7% | +2.4% | +10.3% | -2.1% | -11.2% | -19.3% |
| COINCoinbase Global | Financial Services | -0.74 | 2025-10-31 | -4.2% | +3.4% | +20.2% | +19.9% | -1.8% | -18.4% | -39.8% |
| CCitigroup | Financial Services | -0.73 | 2021-08-31 | -0.3% | +3.6% | +2.0% | +3.8% | +4.6% | +19.8% | +44.9% |
| KKRKKR | Financial Services | -0.71 | 2024-06-28 | -1.8% | -0.9% | +5.0% | +13.6% | -1.8% | -15.0% | -21.0% |
| HOODRobinhood Markets, Inc. | Financial Services | -0.68 | 2025-09-30 | -2.1% | +17.1% | +30.9% | +41.4% | +16.5% | +8.0% | +18.7% |
| METMetLife | Financial Services | -0.67 | 2021-08-31 | -1.6% | +1.1% | -0.1% | +14.0% | +2.6% | +26.3% | +22.8% |
| PANWPalo Alto Networks | Technology | -0.66 | 2025-02-28 | +0.4% | -10.3% | -8.4% | +26.6% | -12.8% | +80.9% | +73.3% |
| KRKroger | Consumer Defensive | -0.64 | 2025-12-31 | +0.1% | +1.5% | +4.0% | -8.5% | +1.8% | -4.6% | -11.7% |
| UDRUDR, Inc. | Real Estate | -0.64 | 2023-07-31 | +0.0% | -2.0% | -4.9% | -6.8% | -1.5% | +2.4% | -2.1% |
| BXPBXP, Inc. | Real Estate | -0.62 | 2021-08-31 | -0.8% | -2.4% | -2.9% | +4.5% | -0.4% | +2.8% | -6.1% |
| CVSCVS Health | Healthcare | -0.62 | 2025-10-31 | -0.5% | +4.0% | +1.1% | -0.7% | +3.0% | +24.8% | +35.4% |
| VTRSViatris | Healthcare | -0.62 | 2025-05-30 | -0.4% | +3.3% | +3.5% | +7.9% | +2.2% | +38.7% | +69.1% |
| AREAlexandria Real Estate Equities | Real Estate | -0.60 | 2026-01-30 | -0.1% | +2.1% | +5.9% | +2.0% | +2.6% | +10.7% | -32.6% |
| GILDGilead Sciences | Healthcare | -0.59 | 2026-08-31 NEW | -0.1% | +3.6% | +13.4% | +25.1% | +3.2% | +24.5% | +37.4% |
| AIGAmerican International Group | Financial Services | -0.58 | 2022-02-28 | -0.9% | -0.9% | -3.3% | +2.4% | -0.2% | -9.8% | -4.5% |
| EQTEQT Corporation | Energy | -0.55 | 2025-07-31 | -0.8% | +1.1% | +6.7% | +5.2% | +1.8% | +3.8% | +7.7% |
| TELTE Connectivity | Technology | -0.55 | 2026-04-30 | -0.4% | +3.0% | -3.2% | +3.7% | +1.7% | -7.3% | +1.5% |
| PSKYParamount Skydance Corp | Communication Services | -0.54 | 2025-02-28 | -1.6% | -0.2% | +18.2% | +5.9% | -0.5% | -18.1% | -25.1% |
| AMTAmerican Tower | Real Estate | -0.53 | 2019-12-31 | -1.1% | -0.2% | +1.9% | -7.8% | +0.1% | +1.1% | -7.3% |
| TAT&T | Communication Services | -0.53 | 2025-10-31 | -2.0% | -1.3% | +7.9% | +12.1% | -0.9% | +7.0% | -9.2% |
| ELEstée Lauder Companies (The) | Consumer Defensive | -0.52 | 2024-08-30 | +3.0% | +0.8% | +18.0% | +22.0% | +1.5% | +0.2% | +20.4% |
| GPNGlobal Payments | Industrials | -0.52 | 2024-05-31 | +0.8% | +0.8% | +7.4% | +48.7% | +1.6% | +20.4% | +7.4% |
| PFGPrincipal Financial Group | Financial Services | -0.51 | 2024-02-29 | -1.5% | +5.5% | +3.7% | +7.6% | +6.7% | +35.5% | +48.5% |
| DOWDow Inc. | Basic Materials | -0.48 | 2025-07-31 | -3.0% | -2.4% | +1.5% | -13.0% | -3.5% | +30.2% | +29.2% |
| ESEversource Energy | Utilities | -0.48 | 2024-02-29 | -0.6% | +0.3% | -1.8% | +2.7% | +1.3% | +7.9% | +17.2% |
| DOCHealthpeak Properties | Real Estate | -0.47 | 2024-08-30 | -1.8% | -1.5% | -3.1% | +2.3% | -0.8% | +34.1% | +22.6% |
| JPMJPMorgan Chase | Financial Services | -0.46 | 2026-03-31 | -0.9% | +0.3% | +0.3% | +16.5% | +0.7% | +12.9% | +20.3% |
| SNDKSandisk Corporation | Technology | -0.46 | 2026-08-31 NEW | +11.9% | +17.2% | +43.5% | +5.9% | +11.1% | +633.0% | +2684.0% |
| CPTCamden Property Trust | Real Estate | -0.43 | 2025-11-28 | +0.1% | -0.6% | -5.6% | -7.5% | -0.1% | -2.1% | -0.3% |
| GISGeneral Mills | Consumer Defensive | -0.41 | 2026-07-31 | -2.5% | -7.8% | +3.8% | +15.2% | -7.1% | -13.6% | -18.0% |
| HUMHumana | Healthcare | -0.41 | 2024-04-30 | -1.2% | +4.2% | +4.3% | +10.4% | +4.8% | +57.9% | +30.6% |
| TSNTyson Foods | Consumer Defensive | -0.40 | 2026-05-29 | -0.7% | -6.3% | -10.6% | -7.5% | -5.9% | -10.0% | -5.2% |
| BAXBaxter International | Healthcare | -0.38 | 2024-11-29 | +1.0% | -1.1% | -6.2% | +27.2% | -0.7% | +35.4% | +9.8% |
| EQIXEquinix | Real Estate | -0.38 | 2026-02-27 | -0.5% | -0.8% | -0.2% | +0.2% | -1.0% | +37.3% | +37.8% |
| MOSMosaic Company (The) | Basic Materials | -0.37 | 2026-05-29 | +1.4% | +9.5% | +12.1% | +30.4% | +7.2% | +9.3% | -18.0% |
| VTRVentas | Real Estate | -0.37 | 2023-08-31 | -2.0% | -1.7% | -3.3% | +7.6% | -1.0% | +18.1% | +36.7% |
| FEFirstEnergy | Utilities | -0.36 | 2025-03-31 | -0.6% | +1.9% | -1.5% | +1.7% | +2.0% | +7.6% | +11.9% |
| SYYSysco | Consumer Defensive | -0.36 | 2025-08-29 | -1.3% | -2.3% | -5.0% | +2.6% | -1.3% | +11.0% | -0.2% |
| GMGeneral Motors | Consumer Cyclical | -0.34 | 2025-03-31 | +0.8% | +1.9% | +0.4% | +10.8% | +1.9% | +8.6% | +52.6% |
| TAPMolson Coors Beverage Company | Consumer Defensive | -0.34 | 2025-11-28 | -0.2% | -2.3% | -5.5% | +0.2% | +1.9% | -10.3% | -14.4% |
| ETREntergy | Utilities | -0.33 | 2021-10-29 | -0.5% | +1.4% | +0.7% | -2.3% | +0.9% | +18.2% | +24.7% |
| FISFidelity National Information Services | Technology | -0.33 | 2026-06-30 | -0.9% | +1.1% | -2.0% | +8.8% | +2.8% | -35.7% | -37.0% |
| VSTVistra Corp. | Utilities | -0.33 | 2024-05-31 | +3.5% | +8.9% | +6.2% | +7.9% | +8.7% | -7.2% | -20.9% |
| WFCWells Fargo | Financial Services | -0.33 | 2026-03-31 | +0.9% | +3.8% | +3.1% | +10.4% | +4.1% | -1.9% | +12.3% |
| BACBank of America | Financial Services | -0.32 | 2026-07-31 | -0.1% | +1.1% | -0.3% | +15.5% | +1.7% | +15.8% | +27.1% |
| TRMBTrimble Inc. | Technology | -0.32 | 2026-08-31 NEW | -1.1% | -2.5% | -0.1% | +17.5% | -0.8% | -24.1% | -25.4% |
| DDominion Energy | Utilities | -0.31 | 2026-05-29 | -0.4% | +1.5% | -1.3% | -0.4% | +0.8% | +15.9% | +18.1% |
| SOSouthern Company | Utilities | -0.31 | 2024-02-29 | -0.7% | -0.2% | -4.2% | -5.5% | +0.1% | +3.5% | -0.9% |
| JNJJohnson & Johnson | Healthcare | -0.30 | 2026-04-30 | -1.1% | +2.7% | +6.7% | +16.0% | +3.5% | +35.1% | +57.4% |
| WBDWarner Bros. Discovery | Communication Services | -0.30 | 2026-05-29 | -0.4% | -1.8% | +5.5% | +7.7% | -1.0% | -2.0% | +140.0% |
| CNCCentene Corporation | Healthcare | -0.29 | 2025-10-31 | -1.4% | +3.5% | +1.9% | +2.6% | +4.2% | +62.9% | +134.0% |
| DTEDTE Energy | Utilities | -0.29 | 2026-04-30 | -0.7% | +0.2% | -2.7% | -6.1% | +0.3% | +7.2% | +3.1% |
| AFLAflac | Financial Services | -0.28 | 2026-05-29 | -1.0% | +0.6% | -5.5% | +0.6% | +1.2% | +8.0% | +10.2% |
| LYBLyondellBasell | Basic Materials | -0.28 | 2025-10-31 | -1.9% | -0.2% | +7.7% | -1.5% | -2.4% | +51.6% | +24.3% |
| BKRBaker Hughes | Energy | -0.27 | 2026-06-30 | -0.2% | +1.8% | +3.2% | +1.1% | -0.1% | +40.9% | +39.2% |
| RCLRoyal Caribbean Group | Consumer Cyclical | -0.27 | 2026-08-31 NEW | -0.1% | -5.1% | -17.1% | -1.3% | -1.3% | -3.9% | -25.1% |
| CNPCenterPoint Energy | Utilities | -0.26 | 2026-08-31 NEW | -0.8% | +1.1% | -1.9% | -6.6% | +0.2% | +5.2% | +8.3% |
| FSLRFirst Solar | Energy | -0.26 | 2024-02-29 | -1.4% | -0.0% | -18.2% | -18.0% | +1.3% | -21.7% | +1.3% |
| GPCGenuine Parts Company | Consumer Cyclical | -0.26 | 2026-08-31 NEW | +0.3% | +0.4% | +1.8% | +41.4% | +1.8% | +15.4% | +2.0% |
| IPInternational Paper | Consumer Cyclical | -0.26 | 2026-08-31 NEW | +2.2% | -5.3% | -9.4% | +18.3% | -1.8% | -2.0% | -19.1% |
| MRNAModerna | Healthcare | -0.26 | 2026-07-31 | -2.2% | +5.5% | +146.0% | +216.5% | +3.7% | +393.6% | +499.5% |
| CEGConstellation Energy | Utilities | -0.25 | 2026-08-31 NEW | +4.9% | +8.0% | +10.9% | +23.6% | +8.8% | -15.0% | -2.7% |
| PRUPrudential Financial | Financial Services | -0.25 | 2026-07-31 | -1.0% | +1.9% | +1.8% | +17.4% | +3.8% | +12.3% | +18.1% |
| WELLWelltower | Real Estate | -0.25 | 2024-02-29 | -2.1% | -0.8% | +0.1% | +12.2% | -0.0% | +28.6% | +42.9% |
Score is the cross-sectional z-score at rebalance. “Since” marks the start of the stock’s current uninterrupted run in that book. A missing long weight means no usable market cap at rebalance; the name remains in the equal-weighted spread leg. Individual stock returns are descriptive, not portfolio attribution.
How Quality is defined
The score combines return on equity, low debt-to-equity, and low variability in quarterly earnings growth. Available component z-scores are averaged.
Raw metrics are winsorized at the 2.5th and 97.5th percentiles, then standardized within the point-in-time universe. Stocks are split into five groups at each month-end rebalance.
The long portfolio holds the top quintile, weighted by market capitalization with a 5% name cap at rebalance. The Q5 − Q1 spread uses equal weights on both sides. Holdings drift with prices between rebalances.
First rebalance: 2019-12-31. The 5-day z-score compares the latest relative move with the prior 252 overlapping 5-day moves.
Read the full methodology →Sector exposure
Long portfolio / S&P 500 benchmark
Technology42.5% / 37.0%
Communication Services12.2% / 10.3%
Financial Services9.8% / 12.6%
Consumer Cyclical9.6% / 9.5%
Healthcare8.4% / 9.2%
Consumer Defensive8.2% / 5.0%
Industrials6.9% / 7.4%
Utilities1.5% / 2.3%
Energy0.7% / 3.4%
Real Estate0.1% / 1.7%
Basic Materials0.1% / 1.6%
Monthly portfolio changes
The last 12 rebalances of the long book. Turnover is the share of names newly added.
2026-08-31 5 added · 5 dropped
Added EOG, EXPE, HWM, IT, WST
Dropped AVGO, BR, GILD, IBKR, SNDK
2026-07-31 3 added · 3 dropped
Added LMT, PAYX, TXN
Dropped MTD, VLTO, WST
2026-06-30 1 added · 1 dropped
Added AVGO
Dropped HWM
2026-05-29 5 added · 5 dropped
Added CF, GILD, PTC, SNDK, VRTX
Dropped ALLE, PAYX, TXN, UBER, WAT
2026-04-30 7 added · 7 dropped
Added ISRG, QCOM, STX, TXN, VRSK, WDC, WST
Dropped AON, APH, CVNA, LMT, MSI, SPG, ZTS
2026-03-31 3 added · 3 dropped
Added CBOE, DELL, MU
Dropped FDS, MRK, PAYC
2026-02-27 9 added · 9 dropped
Added ABNB, AON, BR, CVNA, DXCM, HIG, PLTR, SPG, TER
Dropped ABT, CMG, DOV, EXPE, ISRG, IT, MPWR, PHM, PM
2026-01-30 2 added · 2 dropped
Added GEV, LMT
Dropped ABNB, VRTX
2025-12-31 1 added · 1 dropped
Added FIX
Dropped HIG
2025-11-28 3 added · 3 dropped
Added APP, EXPE, IBKR
Dropped COR, EW, QCOM
2025-10-31 4 added · 4 dropped
Added FDS, HIG, INCY, KO
Dropped CTSH, HUBB, TER, WST
2025-09-30 2 added · 2 dropped
Added EME, ISRG
Dropped KO, TXN