Systematic factor / S&P 500
Size
The smaller companies within the selected universe.
1 day vs S&P 500-0.2%relative return
20 days vs S&P 500-0.4%relative return
5-day z-score-0.72σrelative move vs trailing history
Year to date+16.0%long portfolio return
Performance
Size 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 | -0.6% | -1.3% | -0.7% | +9.3% | -0.6% | +16.0% | +16.7% |
| vs S&P 500 | -0.2% | -1.4% | -0.4% | +2.6% | -1.0% | +1.9% | -3.0% |
| Q5 − Q1 spread | -0.7% | -1.3% | -1.4% | +1.9% | -0.6% | -1.5% | -6.8% |
Inside the factor
Rebalanced 2026-08-31 · 6% of the long book is new.
Top quintile: the highest-scoring stocks. Weights below are for the cap-weighted long portfolio.
| NINiSource | Utilities | 1.40% | 0.90 | 2026-08-31 NEW | -0.7% | +2.0% | -2.9% | -10.6% | +1.1% | +1.1% | +6.7% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| CDWCDW | Technology | 1.37% | 0.92 | 2025-12-31 | -1.0% | +3.2% | +12.7% | +18.4% | +0.5% | +13.7% | -6.5% |
| VTRSViatris | Healthcare | 1.37% | 0.92 | 2026-08-31 NEW | -0.4% | +3.3% | +3.5% | +7.9% | +2.2% | +38.7% | +69.1% |
| ZBHZimmer Biomet | Healthcare | 1.36% | 0.93 | 2026-03-31 | -0.9% | -2.8% | +1.6% | +11.5% | -2.0% | +9.7% | -5.4% |
| LUVSouthwest Airlines | Industrials | 1.34% | 0.94 | 2026-08-31 NEW | +2.3% | +0.4% | -15.4% | -3.4% | +3.3% | -2.9% | +29.6% |
| TSNTyson Foods | Consumer Defensive | 1.34% | 0.94 | 2026-08-31 NEW | -0.7% | -6.3% | -10.6% | -7.5% | -5.9% | -10.0% | -5.2% |
| EVRGEvergy | Utilities | 1.33% | 0.95 | 2026-07-31 | -0.5% | +1.1% | -1.4% | -0.7% | +0.6% | +15.3% | +17.9% |
| GPCGenuine Parts Company | Consumer Cyclical | 1.33% | 0.95 | 2026-02-27 | +0.3% | +0.4% | +1.8% | +41.4% | +1.8% | +15.4% | +2.0% |
| FDXFFedEx Freight Holding Company, Inc. | Industrials | 1.32% | 0.96 | 2026-08-31 NEW | +1.8% | -3.0% | -10.6% | -26.2% | -3.2% | -14.3% | — |
| GENGen Digital | Technology | 1.32% | 0.96 | 2025-09-30 | -2.2% | -1.2% | +5.5% | +25.0% | -1.1% | +14.4% | +5.8% |
| DDDuPont | Basic Materials | 1.30% | 0.97 | 2026-06-30 | +0.4% | -3.5% | -7.2% | -2.2% | -2.2% | +10.5% | +38.3% |
| TSCOTractor Supply | Consumer Cyclical | 1.30% | 0.97 | 2026-04-30 | +1.1% | +0.8% | +1.9% | +14.5% | +0.3% | -28.7% | -40.9% |
| CHTRCharter Communications | Communication Services | 1.29% | 0.97 | 2026-05-29 | +0.4% | -1.1% | -0.4% | +10.3% | -0.3% | -27.2% | -41.4% |
| ESSEssex Property Trust | Real Estate | 1.29% | 0.98 | 2025-07-31 | -0.0% | -1.9% | -3.3% | -1.2% | -1.5% | +9.7% | +9.5% |
| OMCOmnicom Group | Communication Services | 1.27% | 0.99 | 2025-04-30 | -2.5% | -6.4% | -3.1% | +11.7% | -5.6% | +4.5% | +8.5% |
| NDSNNordson Corporation | Industrials | 1.27% | 0.99 | 2022-02-28 | +0.3% | -1.9% | +2.7% | +14.6% | -1.0% | +33.2% | +42.7% |
| FTVFortive | Technology | 1.26% | 1.00 | 2025-07-31 | -1.0% | -4.5% | -7.6% | -5.0% | -3.1% | +3.5% | +20.3% |
| PTCPTC Inc. | Technology | 1.26% | 1.00 | 2026-02-27 | -6.0% | -10.3% | -4.5% | +4.4% | -9.4% | -19.1% | -33.9% |
| CHRWC.H. Robinson | Industrials | 1.26% | 1.00 | 2026-07-31 | +0.7% | -1.8% | -1.1% | -19.9% | -1.4% | -7.1% | +17.8% |
| ZBRAZebra Technologies | Technology | 1.26% | 1.00 | 2025-08-29 | +1.5% | +1.8% | -3.6% | +67.3% | +2.6% | +49.4% | +16.5% |
| JJacobs Solutions | Industrials | 1.25% | 1.00 | 2025-11-28 | -0.9% | -3.8% | +1.0% | +20.4% | -1.9% | +11.3% | +2.8% |
| LNTAlliant Energy | Utilities | 1.25% | 1.01 | 2026-07-31 | -0.0% | -0.1% | -2.0% | -6.2% | -0.0% | +7.0% | +8.3% |
| LDOSLeidos | Technology | 1.25% | 1.01 | 2026-05-29 | +0.5% | -5.4% | -3.3% | +9.7% | -5.1% | -25.8% | -24.7% |
| BENFranklin Resources | Financial Services | 1.24% | 1.01 | 2021-06-30 | +3.5% | +0.2% | +2.8% | +12.7% | +1.7% | +48.9% | +42.1% |
| ROLRollins, Inc. | Consumer Cyclical | 1.23% | 1.02 | 2026-07-31 | +0.4% | -1.4% | -4.5% | -24.6% | -0.6% | -39.6% | -36.0% |
| NVRNVR, Inc. | Consumer Cyclical | 1.22% | 1.03 | 2026-04-30 | -1.2% | -1.5% | -1.4% | -0.1% | -0.3% | -13.6% | -25.1% |
| INVHInvitation Homes | Real Estate | 1.22% | 1.03 | 2025-10-31 | -0.2% | -2.9% | -6.5% | -3.5% | -2.6% | +4.5% | -2.3% |
| BBYBest Buy | Consumer Cyclical | 1.21% | 1.04 | 2025-11-28 | +3.2% | +9.5% | +10.1% | +20.9% | +12.6% | +38.8% | +23.7% |
| NWSANews Corp (Class A) | Communication Services | 1.21% | 1.04 | 2021-03-31 | -1.8% | -1.9% | +6.6% | +12.7% | -1.0% | +16.8% | +4.5% |
| WYWeyerhaeuser | Real Estate | 1.20% | 1.04 | 2026-02-27 | -0.1% | -2.6% | -10.0% | -3.8% | -1.5% | -0.3% | -6.6% |
| IEXIDEX Corporation | Industrials | 1.20% | 1.04 | 2024-05-31 | +0.3% | -2.8% | -4.6% | +4.7% | -2.1% | +27.1% | +37.8% |
| BALLBall Corporation | Consumer Cyclical | 1.18% | 1.06 | 2024-12-31 | -0.4% | -1.4% | -0.9% | +14.9% | -0.2% | +19.5% | +26.0% |
| ALBAlbemarle Corporation | Basic Materials | 1.12% | 1.10 | 2026-06-30 | -4.5% | -8.1% | -3.7% | -14.0% | -6.4% | -10.3% | +61.5% |
| KIMKimco Realty | Real Estate | 1.12% | 1.10 | 2022-05-31 | -0.2% | +0.4% | -2.4% | -5.9% | +0.7% | +20.3% | +9.7% |
| SOLVSolventum | Healthcare | 1.12% | 1.11 | 2024-05-31 | -0.8% | +0.6% | +10.5% | +13.3% | +0.7% | +15.7% | +26.7% |
| AKAMAkamai Technologies | Technology | 1.11% | 1.12 | 2026-06-30 | -1.2% | -2.1% | -4.8% | -19.0% | -3.1% | +20.6% | +36.3% |
| TYLTyler Technologies | Technology | 1.09% | 1.13 | 2026-01-30 | -4.0% | -3.7% | +16.5% | +20.2% | -2.2% | -19.8% | -34.3% |
| APAAPA Corporation | Energy | 1.08% | 1.14 | 2023-01-31 | -3.2% | +0.5% | +13.7% | +13.4% | -0.9% | +79.0% | +88.8% |
| HSTHost Hotels & Resorts | Real Estate | 1.07% | 1.15 | 2020-01-31 | +0.3% | -1.0% | -5.3% | -4.4% | +0.5% | +30.5% | +35.6% |
| MAAMid-America Apartment Communities | Real Estate | 1.07% | 1.15 | 2025-07-31 | -0.2% | -1.0% | -4.9% | -7.1% | -0.4% | -4.3% | -6.7% |
| EGEverest Group | Financial Services | 1.07% | 1.15 | 2024-08-30 | -1.4% | +0.9% | +1.6% | +13.9% | +1.7% | +13.6% | +12.4% |
| IVZInvesco | Financial Services | 1.05% | 1.17 | 2019-12-31 | +1.1% | +0.6% | +5.4% | +21.3% | +0.9% | +28.8% | +55.4% |
| SWKStanley Black & Decker | Industrials | 1.03% | 1.18 | 2022-07-29 | +0.9% | -0.4% | -6.3% | +25.7% | +1.0% | +33.9% | +34.7% |
| DOCHealthpeak Properties | Real Estate | 1.02% | 1.19 | 2022-08-31 | -1.8% | -1.5% | -3.1% | +2.3% | -0.8% | +34.1% | +22.6% |
| MKCMcCormick & Company | Consumer Defensive | 1.02% | 1.19 | 2025-12-31 | -0.9% | -5.9% | -1.7% | +5.8% | -4.0% | -22.2% | -23.3% |
| MASMasco | Industrials | 1.02% | 1.20 | 2024-11-29 | +1.8% | -0.8% | -5.8% | +3.0% | +0.8% | +16.1% | +0.1% |
| RVTYRevvity | Healthcare | 1.01% | 1.21 | 2023-10-31 | -0.3% | +1.1% | +13.6% | +28.6% | +1.2% | +34.9% | +52.4% |
| SJMJ.M. Smucker Company (The) | Consumer Defensive | 1.00% | 1.22 | 2023-09-29 | -1.9% | -4.7% | +5.9% | +8.7% | -3.9% | +32.9% | +16.9% |
| TXTTextron | Industrials | 1.00% | 1.22 | 2024-09-30 | -0.4% | -4.8% | -11.6% | -13.4% | -1.8% | -9.2% | -2.7% |
| AIZAssurant | Financial Services | 0.99% | 1.22 | 2019-12-31 | -0.7% | +0.3% | -1.0% | +11.4% | +1.4% | +19.9% | +33.9% |
| CRLCharles River Laboratories | Healthcare | 0.99% | 1.23 | 2022-02-28 | -1.7% | -1.0% | +7.8% | +54.9% | +0.1% | +44.6% | +77.8% |
| TRMBTrimble Inc. | Technology | 0.99% | 1.23 | 2026-01-30 | -1.1% | -2.5% | -0.1% | +17.5% | -0.8% | -24.1% | -25.4% |
| REGRegency Centers | Real Estate | 0.97% | 1.24 | 2019-12-31 | -0.9% | -0.3% | -2.4% | -5.1% | +0.7% | +11.1% | +6.5% |
| COOCooper Companies (The) | Healthcare | 0.97% | 1.25 | 2025-05-30 | -1.5% | -2.2% | -6.2% | +2.8% | -0.7% | -15.1% | +2.3% |
| TKOTKO Group Holdings | Communication Services | 0.97% | 1.25 | 2025-03-31 | -1.8% | +0.7% | -0.3% | -9.5% | +1.9% | -10.3% | -0.6% |
| GLGlobe Life | Financial Services | 0.96% | 1.25 | 2019-12-31 | -1.3% | +0.9% | -5.2% | +7.4% | +0.9% | +25.4% | +24.2% |
| BAXBaxter International | Healthcare | 0.95% | 1.26 | 2025-04-30 | +1.0% | -1.1% | -6.2% | +27.2% | -0.7% | +35.4% | +9.8% |
| LULULululemon Athletica | Consumer Cyclical | 0.95% | 1.27 | 2026-04-30 | -17.4% | -16.7% | -21.8% | -15.4% | -16.3% | -51.6% | -51.2% |
| AVYAvery Dennison | Industrials | 0.94% | 1.27 | 2024-10-31 | +1.2% | -0.9% | -0.6% | +12.8% | +1.1% | -2.1% | +7.2% |
| ALLEAllegion | Industrials | 0.94% | 1.27 | 2020-05-29 | +1.0% | -0.2% | -7.0% | +22.0% | +1.2% | -0.5% | -6.7% |
| LIILennox International | Industrials | 0.94% | 1.27 | 2026-07-31 | +1.1% | -0.7% | -11.2% | -22.4% | +2.1% | -19.1% | -29.7% |
| HASHasbro | Consumer Cyclical | 0.94% | 1.28 | 2021-01-29 | -0.5% | -1.8% | -0.3% | +13.3% | -1.7% | +15.4% | +18.8% |
| ITGartner | Technology | 0.93% | 1.28 | 2026-01-30 | -4.6% | -6.0% | +0.4% | +20.3% | -5.9% | -26.1% | -21.2% |
| CSGPCoStar Group | Real Estate | 0.92% | 1.30 | 2026-02-27 | -2.4% | -4.1% | +2.2% | -9.7% | -3.6% | -54.0% | -65.3% |
| GDDYGoDaddy | Technology | 0.90% | 1.31 | 2025-11-28 | -2.2% | +3.7% | +11.2% | +26.2% | +3.5% | -18.4% | -30.1% |
| FDSFactSet | Financial Services | 0.90% | 1.31 | 2025-07-31 | -3.5% | -1.9% | +6.1% | +21.7% | -3.7% | +5.5% | -16.8% |
| HRLHormel Foods | Consumer Defensive | 0.88% | 1.34 | 2025-06-30 | -0.7% | -0.1% | -13.9% | -10.3% | -1.4% | -5.5% | -10.2% |
| BF-BBrown–Forman | Consumer Defensive | 0.87% | 1.35 | 2025-05-30 | -2.8% | -1.0% | -5.5% | +1.6% | +1.4% | +5.3% | -1.9% |
| PSKYParamount Skydance Corp | Communication Services | 0.86% | 1.35 | 2024-04-30 | -1.6% | -0.2% | +18.2% | +5.9% | -0.5% | -18.1% | -25.1% |
| JKHYJack Henry & Associates | Technology | 0.86% | 1.36 | 2022-11-30 | -1.6% | -2.4% | +6.2% | +30.3% | -1.4% | -8.2% | +4.2% |
| UDRUDR, Inc. | Real Estate | 0.85% | 1.36 | 2022-10-31 | +0.0% | -2.0% | -4.9% | -6.8% | -1.5% | +2.4% | -2.1% |
| DECKDeckers Brands | Consumer Cyclical | 0.85% | 1.37 | 2025-09-30 | +1.6% | -2.2% | -11.9% | -22.8% | -1.5% | -17.2% | -30.8% |
| CLXClorox | Consumer Defensive | 0.85% | 1.37 | 2025-05-30 | -1.3% | -9.2% | -10.5% | -5.2% | -4.7% | -4.4% | -21.9% |
| PNWPinnacle West | Utilities | 0.84% | 1.37 | 2020-04-30 | -0.5% | -0.1% | -3.5% | -4.5% | -0.1% | +13.0% | +13.5% |
| ERIEErie Indemnity | Financial Services | 0.84% | 1.38 | 2025-08-29 | -2.2% | -2.9% | +0.1% | +9.6% | -1.1% | -10.3% | -23.3% |
| HIIHuntington Ingalls Industries | Industrials | 0.82% | 1.40 | 2019-12-31 | -1.7% | -2.8% | -11.5% | -0.7% | -1.8% | -14.9% | +7.7% |
| ALGNAlign Technology | Healthcare | 0.81% | 1.42 | 2024-10-31 | -0.8% | +0.7% | -8.6% | -7.0% | -0.7% | +1.6% | +17.8% |
| DVADaVita | Healthcare | 0.81% | 1.42 | 2021-02-26 | +1.3% | +1.8% | +0.1% | -7.3% | +4.5% | +62.0% | +35.7% |
| TECHBio-Techne | Healthcare | 0.80% | 1.43 | 2022-04-29 | -0.0% | +0.1% | +0.3% | +38.1% | +0.2% | +23.7% | +37.6% |
| DPZDomino's | Consumer Cyclical | 0.79% | 1.43 | 2025-05-30 | -1.7% | -2.5% | -2.8% | +9.0% | -0.3% | -17.2% | -24.9% |
| GNRCGenerac | Industrials | 0.77% | 1.46 | 2022-08-31 | +2.4% | +1.9% | -11.7% | -21.6% | +1.1% | +37.4% | +5.1% |
| BXPBXP, Inc. | Real Estate | 0.77% | 1.47 | 2022-06-30 | -0.8% | -2.4% | -2.9% | +4.5% | -0.4% | +2.8% | -6.1% |
| CPTCamden Property Trust | Real Estate | 0.77% | 1.46 | 2022-10-31 | +0.1% | -0.6% | -5.6% | -7.5% | -0.1% | -2.1% | -0.3% |
| AESAES Corporation | Utilities | 0.75% | 1.48 | 2023-05-31 | +0.1% | +0.4% | +0.4% | +2.4% | +0.3% | +6.9% | +21.2% |
| MGMMGM Resorts | Consumer Cyclical | 0.74% | 1.49 | 2023-09-29 | +0.2% | -2.5% | -7.3% | -12.1% | -0.3% | +13.0% | +11.3% |
| PODDInsulet Corporation | Healthcare | 0.73% | 1.51 | 2026-01-30 | -2.1% | +1.6% | +4.5% | -2.1% | -0.8% | -48.1% | -57.4% |
| HSICHenry Schein | Healthcare | 0.72% | 1.52 | 2019-12-31 | -1.2% | +0.3% | +1.9% | +13.9% | +0.0% | +18.8% | +32.5% |
| UHSUniversal Health Services | Healthcare | 0.72% | 1.52 | 2020-04-30 | +0.3% | -1.1% | -2.1% | +17.3% | -0.3% | -21.9% | -8.2% |
| FRTFederal Realty Investment Trust | Real Estate | 0.71% | 1.52 | 2019-12-31 | -0.1% | +0.3% | -1.4% | -4.4% | +0.9% | +19.8% | +21.0% |
| SWKSSkyworks Solutions | Technology | 0.71% | 1.52 | 2024-09-30 | +3.5% | +12.5% | +4.8% | +5.3% | +10.5% | +19.2% | +2.4% |
| PNRPentair | Industrials | 0.69% | 1.52 | 2025-10-31 | +0.3% | -2.4% | -12.6% | -15.3% | -0.4% | -41.6% | -44.6% |
| AREAlexandria Real Estate Equities | Real Estate | 0.68% | 1.52 | 2025-03-31 | -0.1% | +2.1% | +5.9% | +2.0% | +2.6% | +10.7% | -32.6% |
| APTVAptiv | Consumer Cyclical | 0.67% | 1.52 | 2026-08-31 NEW | +3.0% | +4.8% | -3.2% | -26.5% | +7.1% | -37.0% | -40.4% |
| WYNNWynn Resorts | Consumer Cyclical | 0.66% | 1.52 | 2021-03-31 | -0.0% | -3.9% | -10.5% | -12.8% | +0.3% | -23.4% | -24.8% |
| AOSA. O. Smith | Industrials | 0.58% | 1.52 | 2019-12-31 | -0.1% | +0.2% | -5.5% | +6.3% | +2.3% | -8.0% | -14.9% |
| MOSMosaic Company (The) | Basic Materials | 0.54% | 1.52 | 2023-05-31 | +1.4% | +9.5% | +12.1% | +30.4% | +7.2% | +9.3% | -18.0% |
| TAPMolson Coors Beverage Company | Consumer Defensive | 0.53% | 1.52 | 2023-08-31 | -0.2% | -2.3% | -5.5% | +0.2% | +1.9% | -10.3% | -14.4% |
| NCLHNorwegian Cruise Line Holdings | Consumer Cyclical | 0.52% | 1.52 | 2019-12-31 | -0.1% | -6.5% | -19.1% | -13.1% | -3.5% | -30.2% | -39.2% |
| BLDRBuilders FirstSource | Industrials | 0.51% | 1.52 | 2025-02-28 | +2.5% | -2.9% | -11.9% | -11.8% | -0.9% | -36.1% | -54.1% |
| TTDThe Trade Desk, Inc. | Technology | 0.45% | 1.52 | 2026-01-30 | -4.4% | +6.3% | +4.6% | -25.2% | +5.2% | -62.0% | -72.2% |
Bottom quintile: the lowest-scoring stocks, used as the equal-weighted short leg of the spread.
| AAPLApple Inc. | Technology | -2.56 | 2019-12-31 | -2.5% | +0.1% | +2.2% | +9.8% | +1.0% | +18.0% | +33.9% |
|---|---|---|---|---|---|---|---|---|---|---|
| AMZNAmazon | Consumer Cyclical | -2.56 | 2019-12-31 | -0.1% | -3.0% | -5.8% | +8.6% | -0.5% | +12.0% | +9.7% |
| AVGOBroadcom | Technology | -2.56 | 2019-12-31 | +0.2% | -2.9% | -16.3% | -3.7% | -3.4% | +3.8% | +17.8% |
| BRK-BBerkshire Hathaway | Financial Services | -2.56 | 2019-12-31 | -0.4% | +0.2% | -3.0% | +4.6% | +0.4% | +0.7% | -0.2% |
| GOOGLAlphabet Inc. (Class A) | Communication Services | -2.56 | 2019-12-31 | -1.1% | -2.3% | -4.4% | -5.0% | -0.2% | +8.3% | +46.2% |
| JPMJPMorgan Chase | Financial Services | -2.56 | 2019-12-31 | -0.9% | +0.3% | +0.3% | +16.5% | +0.7% | +12.9% | +20.3% |
| LLYLilly (Eli) | Healthcare | -2.56 | 2019-12-31 | -1.0% | -2.2% | -3.0% | +1.2% | -0.7% | +7.4% | +55.5% |
| METAMeta Platforms | Communication Services | -2.56 | 2019-12-31 | +1.0% | +6.7% | +4.2% | +8.1% | +7.8% | -6.4% | -17.3% |
| MSFTMicrosoft | Technology | -2.56 | 2019-12-31 | -2.0% | -2.7% | +0.1% | +26.0% | -1.5% | +4.0% | -0.8% |
| MUMicron Technology | Technology | -2.56 | 2025-05-30 | +6.1% | +9.0% | +15.8% | +14.0% | +6.0% | +256.4% | +719.8% |
| NVDANvidia | Technology | -2.56 | 2019-12-31 | +0.8% | +5.9% | +2.9% | +14.9% | +4.3% | +23.7% | +34.4% |
| TSLATesla, Inc. | Consumer Cyclical | -2.56 | 2020-12-31 | -5.9% | +1.5% | +7.8% | -7.2% | -3.8% | -21.3% | +4.6% |
| WMTWalmart | Consumer Defensive | -2.56 | 2019-12-31 | -1.2% | +3.9% | -4.0% | -10.9% | +2.2% | -3.2% | +7.0% |
| AMDAdvanced Micro Devices | Technology | -2.52 | 2020-04-30 | +4.7% | +2.6% | -1.2% | +5.6% | +1.5% | +123.0% | +195.2% |
| VVisa Inc. | Financial Services | -2.47 | 2019-12-31 | -1.0% | -1.7% | +3.7% | +16.4% | -1.1% | +7.6% | +7.7% |
| XOMExxonMobil | Energy | -2.40 | 2019-12-31 | -1.7% | +1.8% | +4.9% | +6.6% | -0.9% | +35.2% | +46.0% |
| JNJJohnson & Johnson | Healthcare | -2.38 | 2019-12-31 | -1.1% | +2.7% | +6.7% | +16.0% | +3.5% | +35.1% | +57.4% |
| MAMastercard | Financial Services | -2.15 | 2019-12-31 | -1.1% | -2.7% | +2.9% | +18.6% | -1.7% | +2.0% | -2.1% |
| ORCLOracle Corporation | Technology | -2.06 | 2019-12-31 | +3.1% | +5.3% | +8.0% | -20.8% | +6.5% | -17.7% | -28.0% |
| ABBVAbbVie | Healthcare | -2.03 | 2019-12-31 | -1.5% | +0.3% | +4.2% | +14.8% | -0.0% | +14.8% | +24.1% |
| INTCIntel | Technology | -2.03 | 2025-08-29 | +4.5% | +7.1% | -5.8% | -10.5% | +7.0% | +159.6% | +289.3% |
| PLTRPalantir Technologies | Technology | -2.01 | 2024-10-31 | -4.5% | -6.4% | +1.4% | +33.9% | -6.5% | -1.9% | +11.7% |
| BACBank of America | Financial Services | -2.00 | 2019-12-31 | -0.1% | +1.1% | -0.3% | +15.5% | +1.7% | +15.8% | +27.1% |
| CSCOCisco | Technology | -1.99 | 2019-12-31 | +0.5% | -0.7% | -10.1% | -7.7% | -1.2% | +43.8% | +63.9% |
| COSTCostco | Consumer Defensive | -1.94 | 2019-12-31 | -1.0% | -3.1% | -3.4% | -6.7% | -3.0% | +6.7% | -3.6% |
| CVXChevron Corporation | Energy | -1.93 | 2019-12-31 | -1.3% | +3.3% | +12.8% | +10.8% | +1.2% | +40.6% | +37.5% |
| LRCXLam Research | Technology | -1.93 | 2025-05-30 | +5.1% | +1.9% | -1.2% | -4.3% | +2.0% | +80.1% | +208.1% |
| KOCoca-Cola Company (The) | Consumer Defensive | -1.86 | 2019-12-31 | -0.8% | -1.8% | +1.2% | +6.0% | -0.7% | +27.7% | +32.7% |
| CATCaterpillar Inc. | Industrials | -1.83 | 2019-12-31 | +1.7% | +1.7% | -3.4% | -4.8% | +2.1% | +43.0% | +95.4% |
| MRKMerck & Co. | Healthcare | -1.82 | 2019-12-31 | -1.3% | +1.3% | +16.9% | +27.2% | +1.8% | +44.9% | +84.9% |
| AMATApplied Materials | Technology | -1.79 | 2020-11-30 | +4.3% | -1.5% | -15.6% | -8.4% | -0.8% | +77.6% | +189.0% |
| PGProcter & Gamble | Consumer Defensive | -1.79 | 2019-12-31 | -0.3% | +1.8% | +0.4% | -1.0% | +0.9% | +4.5% | -5.3% |
| UNHUnitedHealth Group | Healthcare | -1.79 | 2019-12-31 | -0.9% | +1.1% | -2.4% | -2.0% | +2.0% | +21.9% | +31.4% |
| GEGE Aerospace | Industrials | -1.78 | 2023-02-28 | +1.1% | -1.6% | -8.9% | +5.9% | +0.4% | +9.7% | +20.0% |
| MSMorgan Stanley | Financial Services | -1.75 | 2019-12-31 | +0.2% | +1.4% | +0.6% | +5.9% | +2.1% | +24.6% | +47.9% |
| NFLXNetflix | Communication Services | -1.75 | 2019-12-31 | -5.3% | -4.2% | +5.5% | -4.6% | -3.5% | -16.5% | -37.8% |
| HDHome Depot (The) | Consumer Cyclical | -1.74 | 2024-05-31 | +0.9% | -2.1% | -9.1% | +1.4% | -1.4% | -4.7% | -19.8% |
| GSGoldman Sachs | Financial Services | -1.66 | 2019-12-31 | +0.1% | +0.9% | +0.4% | +4.2% | +1.7% | +19.9% | +41.4% |
| DELLDell Technologies | Technology | -1.63 | 2026-04-30 | +1.5% | +14.8% | +15.5% | +41.9% | +14.9% | +320.1% | +319.0% |
| PMPhilip Morris International | Consumer Defensive | -1.62 | 2019-12-31 | -2.0% | -4.9% | -3.7% | +0.6% | -2.5% | +15.8% | +17.4% |
| RTXRTX Corporation | Industrials | -1.58 | 2020-07-31 | -0.7% | -5.2% | -9.7% | +13.6% | -3.3% | +10.7% | +28.4% |
| PANWPalo Alto Networks | Technology | -1.57 | 2026-03-31 | +0.4% | -10.3% | -8.4% | +26.6% | -12.8% | +80.9% | +73.3% |
| WFCWells Fargo | Financial Services | -1.52 | 2019-12-31 | +0.9% | +3.8% | +3.1% | +10.4% | +4.1% | -1.9% | +12.3% |
| ANETArista Networks | Technology | -1.45 | 2024-05-31 | +1.2% | -0.8% | +2.7% | +27.7% | -1.0% | +47.9% | +37.3% |
| GEVGE Vernova | Utilities | -1.43 | 2025-04-30 | +0.0% | +3.3% | -4.9% | +8.7% | +4.8% | +44.4% | +57.7% |
| TXNTexas Instruments | Technology | -1.43 | 2019-12-31 | +1.8% | -0.1% | -9.7% | -7.9% | -0.9% | +51.5% | +41.6% |
| CRWDCrowdStrike | Technology | -1.41 | 2026-05-29 | -0.9% | -2.4% | -0.6% | +31.6% | -7.8% | +81.8% | +106.7% |
| AMGNAmgen | Healthcare | -1.40 | 2019-12-31 | -1.6% | +1.1% | +7.0% | +30.2% | +1.7% | +36.3% | +60.4% |
| KLACKLA Corporation | Technology | -1.39 | 2025-05-30 | +7.3% | +5.7% | -6.2% | -13.0% | +5.8% | +53.3% | +113.7% |
| SNDKSandisk Corporation | Technology | -1.39 | 2026-04-30 | +11.9% | +17.2% | +43.5% | +5.9% | +11.1% | +633.0% | +2684.0% |
| TMOThermo Fisher Scientific | Healthcare | -1.39 | 2019-12-31 | -0.8% | -1.4% | +3.3% | +27.5% | -0.5% | +6.1% | +25.9% |
| LINLinde plc | Basic Materials | -1.38 | 2019-12-31 | -1.0% | -2.1% | -2.2% | -5.9% | -2.1% | +13.1% | +2.5% |
| AXPAmerican Express | Financial Services | -1.37 | 2019-12-31 | -1.1% | -2.1% | -4.3% | +4.4% | -1.2% | -11.1% | -0.3% |
| CCitigroup | Financial Services | -1.37 | 2019-12-31 | -0.3% | +3.6% | +2.0% | +3.8% | +4.6% | +19.8% | +44.9% |
| IBMIBM | Technology | -1.35 | 2019-12-31 | +0.1% | -0.3% | -0.3% | -13.1% | +0.4% | -19.1% | -2.5% |
| CRMSalesforce | Technology | -1.31 | 2019-12-31 | -2.0% | +1.3% | +34.5% | +52.1% | +0.7% | -1.7% | +7.1% |
| VZVerizon | Communication Services | -1.31 | 2019-12-31 | -0.9% | +0.1% | +6.5% | +8.6% | +0.2% | +29.3% | +21.2% |
| APHAmphenol | Technology | -1.24 | 2025-05-30 | +0.9% | +5.0% | -2.1% | +11.1% | +4.4% | +22.9% | +47.9% |
| TMUST-Mobile US | Communication Services | -1.24 | 2019-12-31 | -3.5% | +0.1% | +3.0% | -1.6% | +0.6% | -9.2% | -26.5% |
| ABTAbbott Laboratories | Healthcare | -1.23 | 2019-12-31 | -0.4% | -3.7% | +0.5% | +22.3% | -1.8% | -11.9% | -16.6% |
| PEPPepsiCo | Consumer Defensive | -1.22 | 2019-12-31 | -0.7% | -1.4% | +0.1% | -3.6% | -0.9% | -1.2% | -1.6% |
| SCHWCharles Schwab Corporation | Financial Services | -1.22 | 2021-02-26 | -1.0% | -0.8% | +1.9% | +22.8% | -0.5% | +10.5% | +13.4% |
| MRVLMarvell Technology, Inc. | Technology | -1.21 | 2026-06-30 | +7.0% | +3.2% | +2.2% | -11.5% | +5.6% | +163.4% | +249.5% |
| DISWalt Disney Company (The) | Communication Services | -1.20 | 2019-12-31 | -1.8% | -2.6% | +0.4% | +7.6% | -2.1% | -6.8% | -10.1% |
| MCDMcDonald's | Consumer Cyclical | -1.20 | 2019-12-31 | -1.5% | -2.8% | -6.2% | -8.8% | -2.3% | -14.7% | -17.3% |
| GILDGilead Sciences | Healthcare | -1.17 | 2024-09-30 | -0.1% | +3.6% | +13.4% | +25.1% | +3.2% | +24.5% | +37.4% |
| STXSeagate Technology | Technology | -1.17 | 2026-04-30 | +6.3% | +2.4% | +4.5% | +4.2% | +2.5% | +209.1% | +365.4% |
| TAT&T | Communication Services | -1.17 | 2019-12-31 | -2.0% | -1.3% | +7.9% | +12.1% | -0.9% | +7.0% | -9.2% |
| BLKBlackRock | Financial Services | -1.16 | 2019-12-31 | -0.3% | -3.6% | -1.2% | +11.0% | -2.9% | +6.0% | +3.3% |
| DEDeere & Company | Industrials | -1.16 | 2024-02-29 | -0.1% | +10.0% | +11.7% | +24.2% | +5.9% | +49.8% | +47.9% |
| QCOMQualcomm | Technology | -1.16 | 2019-12-31 | +0.1% | +3.3% | +1.1% | -11.3% | -0.5% | +0.2% | +7.9% |
| UNPUnion Pacific Corporation | Industrials | -1.16 | 2019-12-31 | +0.2% | -5.3% | -0.7% | +9.0% | -3.7% | +27.1% | +32.6% |
| ADIAnalog Devices | Technology | -1.14 | 2022-02-28 | +1.6% | +0.4% | -6.8% | -7.5% | +0.3% | +34.8% | +49.0% |
| BXBlackstone Inc. | Financial Services | -1.13 | 2023-09-29 | -1.1% | -4.4% | -0.7% | +16.1% | -5.0% | -8.9% | -16.6% |
| NEENextEra Energy | Utilities | -1.13 | 2019-12-31 | -0.8% | +1.9% | -0.7% | -1.2% | +1.3% | +6.2% | +21.1% |
| IBKRInteractive Brokers Group | Financial Services | -1.10 | 2026-01-30 | -0.4% | -3.3% | +5.5% | +8.5% | -4.7% | +44.5% | +44.7% |
| WELLWelltower | Real Estate | -1.09 | 2025-07-31 | -2.1% | -0.8% | +0.1% | +12.2% | -0.0% | +28.6% | +42.9% |
| BABoeing | Industrials | -1.08 | 2024-12-31 | +0.8% | +1.2% | -9.5% | +1.6% | +2.1% | -2.2% | -8.0% |
| PFEPfizer | Healthcare | -1.08 | 2025-08-29 | -1.2% | +1.8% | +6.3% | +13.1% | -0.0% | +20.1% | +24.1% |
| COPConocoPhillips | Energy | -1.06 | 2021-09-30 | -1.1% | +3.0% | +14.9% | +12.7% | +1.3% | +46.6% | +44.6% |
| ETNEaton Corporation | Industrials | -1.03 | 2023-06-30 | +3.5% | +2.0% | -8.4% | +9.7% | +2.2% | +30.1% | +19.3% |
| UBERUber | Technology | -1.02 | 2023-12-29 | -0.3% | -3.9% | +1.0% | +10.4% | +0.1% | -7.3% | -17.6% |
| WDCWestern Digital | Technology | -1.02 | 2026-04-30 | +5.9% | +1.7% | +7.6% | -4.6% | +3.8% | +171.6% | +417.4% |
| BKNGBooking Holdings | Consumer Cyclical | -1.01 | 2022-10-31 | -0.9% | -6.0% | -9.8% | +20.3% | -2.9% | -9.3% | -12.8% |
| NOWServiceNow | Technology | -1.01 | 2026-08-31 NEW | -3.0% | -2.4% | +13.1% | +33.2% | -4.5% | -7.8% | -21.4% |
| DHRDanaher Corporation | Healthcare | -0.99 | 2019-12-31 | -1.6% | -3.9% | +1.4% | +13.3% | -2.8% | -8.9% | +5.1% |
| TJXTJX Companies | Consumer Cyclical | -0.99 | 2022-07-29 | -0.1% | -2.2% | -17.9% | -21.0% | -1.4% | -13.2% | -5.2% |
| BMYBristol Myers Squibb | Healthcare | -0.91 | 2026-07-31 | -1.9% | +0.4% | +3.2% | +21.5% | +0.0% | +28.1% | +50.0% |
| VRTXVertex Pharmaceuticals | Healthcare | -0.91 | 2026-06-30 | -2.1% | +0.8% | +10.1% | +25.3% | +0.3% | +20.5% | +37.6% |
| NEMNewmont | Basic Materials | -0.89 | 2026-08-31 NEW | -1.8% | +0.3% | +13.6% | +38.4% | +1.8% | +29.1% | +72.7% |
| CBChubb Limited | Financial Services | -0.88 | 2022-01-31 | -1.9% | +0.5% | -2.5% | +3.6% | +0.9% | +10.1% | +23.6% |
| COFCapital One | Financial Services | -0.88 | 2025-10-31 | -0.4% | +1.8% | +1.2% | +24.1% | +2.4% | -8.3% | -1.5% |
| ISRGIntuitive Surgical | Healthcare | -0.88 | 2019-12-31 | -0.9% | -1.6% | -3.2% | -11.0% | -2.7% | -35.2% | -19.3% |
| PLDPrologis | Real Estate | -0.86 | 2025-10-31 | -0.7% | -2.4% | -2.0% | -5.1% | -1.8% | +9.2% | +25.9% |
| SPGIS&P Global | Financial Services | -0.85 | 2026-07-31 | -1.6% | +0.1% | +8.9% | +10.2% | +1.8% | -14.5% | -17.2% |
| GLWCorning Inc. | Technology | -0.84 | 2026-08-31 NEW | +5.7% | +3.8% | -6.7% | -8.1% | +3.7% | +77.1% | +123.2% |
| LMTLockheed Martin | Industrials | -0.84 | 2026-07-31 | -1.4% | -6.3% | -10.1% | +0.7% | -5.8% | +10.6% | +17.9% |
| FTNTFortinet | Technology | -0.83 | 2026-08-31 NEW | -0.0% | -5.9% | -2.1% | +12.5% | -8.6% | +96.8% | +104.5% |
| PHParker Hannifin | Industrials | -0.81 | 2026-06-30 | -0.2% | -3.1% | -10.2% | +10.2% | -1.7% | +10.2% | +28.2% |
| SYKStryker Corporation | Healthcare | -0.81 | 2019-12-31 | -1.6% | -8.3% | -10.6% | -1.6% | -6.4% | -13.3% | -22.3% |
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 Size is defined
Ranked by negative log market capitalization, so smaller companies receive higher scores. In the S&P 500 view, this means small within the S&P 500, not the whole US market.
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
Industrials16.9% / 7.4%
Technology14.8% / 37.0%
Real Estate13.7% / 1.7%
Consumer Cyclical13.6% / 9.5%
Healthcare12.3% / 9.2%
Financial Services7.0% / 12.6%
Consumer Defensive6.5% / 5.0%
Communication Services5.6% / 10.3%
Utilities5.6% / 2.3%
Basic Materials3.0% / 1.6%
Energy1.1% / 3.4%
Monthly portfolio changes
The last 12 rebalances of the long book. Turnover is the share of names newly added.
2026-08-31 6 added · 5 dropped
Added APTV, FDXF, LUV, NI, TSN, VTRS
Dropped BR, CF, GIS, SBAC, SMCI
2026-07-31 5 added · 5 dropped
Added CHRW, EVRG, LII, LNT, ROL
Dropped CTSH, EFX, GPN, LYB, VTRS
2026-06-30 9 added · 10 dropped
Added AKAM, ALB, CTSH, DD, EFX, LYB, SBAC, SMCI, VTRS
Dropped AMCR, BRO, CAG, CPB, EPAM, IP, LII, LNT, MRNA, POOL
2026-05-29 6 added · 6 dropped
Added BRO, CF, CHTR, GIS, LDOS, LNT
Dropped AKAM, FFIV, IFF, SMCI, VTRS, WAT
2026-04-30 7 added · 7 dropped
Added BR, IFF, IP, LULU, MRNA, NVR, TSCO
Dropped APTV, CNC, HOLX, HPQ, INCY, SBAC, WST
2026-03-31 7 added · 7 dropped
Added AMCR, CNC, INCY, LII, SBAC, SMCI, ZBH
Dropped CF, LNT, LW, LYB, MOH, MTCH, PAYC
2026-02-27 6 added · 6 dropped
Added CSGP, GPC, HPQ, PTC, WAT, WY
Dropped DAY, EVRG, IFF, LII, MRNA, ZBH
2026-01-30 7 added · 7 dropped
Added GPN, IT, PODD, TRMB, TTD, TYL, WST
Dropped ALB, BG, DD, DOW, GPC, SNA, WY
2025-12-31 4 added · 4 dropped
Added BG, CDW, MKC, ZBH
Dropped IT, JBHT, LKQ, MHK
2025-11-28 8 added · 8 dropped
Added APTV, BBY, EVRG, GDDY, GPC, IT, J, LII
Dropped AMCR, BG, CNC, EMN, EXPD, IPG, LUV, MKC
2025-10-31 6 added · 6 dropped
Added FFIV, INVH, MKC, PNR, SNA, WY
Dropped BBY, CHRW, EVRG, INCY, KMX, WAT
2025-09-30 5 added · 5 dropped
Added DECK, GEN, LUV, LYB, WAT
Dropped CZR, ENPH, J, MKTX, SNA